Play through the Prologue first to get an idea of why you’re here and what’s going on. The game pits you, as Marie, against an assortment of zombies and serves as a tutorial for the game mode. You can also earn an Achievement/Trophy, Pressure Cooker, for staying alive in the tutorial until wave 20. “The Final Reich” is the main game, in which the bulk of the story of Nazi Zombies is told.
As a rule of thumb, the loadout for “The Final Reich” should evolve as you gain knowledge of the map. Early on, it’s useful to carry whatever you have in your arsenal (in particular, Nukes or a Flamethrower) to help in crowd control. As you rank up and unlock better starting weapons, you can specialize even further and bring Elektromagnets so the early waves of enemies get a bit more lucrative, or invest in Refund Coupons.
Essentially, success in Nazi Zombies comes down to speed and efficiency. Although you can linger in the village as long as you like (since zombies are theoretically an inexhaustible resource), basic survival can be a real concern. Wave 12 is arguably the first real challenge and the game only gets tougher from that point onward. The more you can get done in those early waves, the better off you are.