Unlocking Nazi Zombies
To actually unlock the Nazi zombie level, you must complete every level in the single-player campaign mode. However, if you are simply invited to play the zombie level on multiplayer via Xbox LIVE, the level will unlock after the match.
Mystery Box
The Nazi zombie level features a unique "mystery box" that you can open for a 950-point fee. Once opened, the box gives you a random gun from a selection of every gun in the game. This is the only way to get some of the best guns--including the ray gun--on this level. The box appears on the first-floor, within the room with the word "HELP" written on the door. It costs 1000 points just to open this door.
Invincible Glitch
When playing the Nazi zombie level on multiplayer, walk into a corner created by intersecting walls or objects against walls (it takes some experimenting to find a working corner). Then, as another player crouch-walks toward you, jump straight up and land on top of him. When that player stands back up, the two of you will merge in position. Now no zombies can cause either of you damage, as long as neither of you moves the left joystick.