I recently spent time at the US Holocaust Memorial Museum's Shappell Center (located in Bowie, Maryland), finding documents relating to my relatives. Before going, it's important to have done your homework, reserving materials and logging what you hope to find in each record set. You'll have a set amount of time to do your research, so advance planning is critical to make sure you can get everything you want while there.
Remember, there are many record sets that are Holocaust-related, but there are also many record sets related to pre-war European Jewry (and some non-Jewish communities as well).