Well, as a historian I should point out the reality was a little more complicated than that. The persecutions took place over a long period, basically from 1933 onwards when Hitler rose to power. They involved not only the Jews but also Gypsies, Slavs, many other ethnic minorities, intellectuals, political dissidents, priests, homosexuals and anyone else that was perceived potentially dangerous to the state.

It was a pretty long process from more or else spontaneous anti-semitic incidents to full scale death camps. Most people at the time probably did not or would not realize just where it was all going. Creating a public scapegoat (Jews and all the other "unwanted" groups) was politically convenient for the Nazi party and over time it also became pretty much accepted by the general population.

Just how much the average German knew of death camps is debatable. Officially they were presented as "labor camps", basically prisons were the unwanted elements were supposed to work for the state and "learn new values" so as to become acceptable members of the society once again. In reality, though some of the concentration camps indeed developed very efficient methods of killing and disposing of the weak and elderly inmates they were largely a source of extremely cheap labor, which in great part contributed to the German economy and war effort.

Many theories on what the German and European Jews should have done to prevent the holocaust from happenning are little more than hollow speculation. By the late 30's the Nazi Germany had developed a very complex repressive system. The Gestapo was only part of it. Then there were the SS and the SA, which involved a huge part of the civilian population. Plus the Sicherheitsdienst (SD - Secret Service) and many other, sometimes improvised organizations. For example, the Einsatzgruppen, a huge task force recruited from the SS and the police. The Einsatzgruppen operated in recently conquered territory, particularly in Eastern Europe, right behind the front line. Their job was to exterminate the Jews, communists and all the other enemies of the state.

So what could you do in a situation like that? Not much as experience shows pretty clearly. You can't fight the entire state. Especially if the population at large is against you as well. No safe haven anywhere. SERE from Auschwitz? How are you going to break out? Human waves storming the fence until the guards run out of ammo and the MG 42 overheats? Good luck, there's still the minefield right on the other side of the fence. Plus many thousands of armed, not necessarily uniformed men looking for you with dogs, cars, radios. Besides, just where exactly would you go? It is a long trek to Switzerland. Can you swim to Sweden? How far can you walk starving and dressed in prison clothes? How are you going to get round, let alone cross the border in wartime?

Also, even if the young, able bodied males might resist as long as they are armed and have some means of resupply and support, what about everybody else? Women, children, the infirm? Will you leave your family behind? Waging a guerilla war is tough, especially against an army as powerful as Hitler's. Historically, the only safe way of getting out alive was to move to another country, hopefully on a different continent. Up to about 1938 at least the German Jews were normally allowed to leave the country. By then it was also pretty apparent that the situation would only get a lot worse. Unfortunately, many people either lacked the means to get away or had their heads buried in the sand too deeply.