Here are the best weapons in Nazi Zombies in order from best to worst. Any wapons i havnt mentioned should be avoided:
Ray Gun, MG42 Browning, Flame Thrower, Magnum .357, Trench Gun, PPSH, FG42, MP40, Thompson, Bazooka, M1 Garand with Rifle Grenades,
Also, a tip. Try to open the box as the question mark symbol on the lid turns bright yellow. This gives you a different and possibly a more powerful weapon.