German Federal Archives
The German Federal Archives (Staatarchiv) is broken down into various branches. The Answartiges Amt-Politisches Archiv in Bonn, Germany has the most important Shoah related materials concerning official reports and Nazi records. The Bundesarchiv in Potsdam has World War II records, and the KZ Gedenstatte Dachau has materials on concentration camps. I found two links to information in English about their holdings: German Historical Institute of D.C.'s Guide to State Archives and in European Guide to Archival Sources on the Shoah from CDJC.
Jewish Historical Research Institute
The Jewish Historical Research Institute of Warsaw, Poland (Zydowski Intytut Historyczny Instytut Naukowo Badawczy) has many general Jewish collections, but approximately 60% of their materials are on the Holocaust. Among these Shoah materials, the most unique and valuable papers are the Underground Archives of the Warsaw Ghetto, because they are documents created during the Holocaust by a Jewish population with few survivors. The creators intended the Underground Archives to be a discrete collection that would provide evidence of the Nazis' treatment of the Warsaw Jews. These papers (also known as Oneg Shabbath) were buried underground before the Warsaw Ghetto population was deported to concentration camps. The milk canisters and boxes which contained the archives were recovered by survivors after the war. This archives (over 27,000 pages) was assembled by the Jewish community (while they were confined to the Warsaw Ghetto) under the leadership of historian Dr. Ringelblum and other Jewish researchers. They collected literary works, posters, food tickets, diaries, and Nazi decrees. The researchers even compiled their own reports on social and health conditions in the ghetto. Some of these documents have been published, and the JHRI has an agreement with the United States Holocaust Memorial Museum to help conserve and microfilm the materials.
The State Museum of Oswiecim-Brzezinka (Auschwitz-Birkenau)
The State Museum of Oswiecim-Brzezinka is on the site of the Auschwitz concentration camp. Their archives contains camp office records, memoirs of former prisoners, letters from prisoners to their families, trial materials, photographs deportees brought with them, and resistance materials.
Center of Contemporary Jewish Documentation
The Center of Contemporary Jewish Documentation of Paris, France (Centre de documentation juive contemporaine) has a considerable amount of materials concerning the Nazi presence in France and the Holocaust. Their archives collection contains records the Germans left behind and Vichy government records. CDJC also has Nuremberg trial records and the personal papers of leaders in the French Jewish community.
The Archives Related to the German Occupation of Denmark 1940-1945
The Archives Related to the German Occupation of Denmark 1940-1945 of Esbjerg, Denmark (Historisk Samling Fra Besaettelsestidem 1940-1945) has materials related to the unique situation in Denmark, where the majority of Jews were not handed over to the Nazis. Their collection contains leaflets, rare books, photographs, personal papers, and documents about the resistance movements.