I grew up with one of the 9000 who survived those death marches, being a kind of foster-gran to me (some of my biological, and step, grandparents survived their own ordeals, but not in Auschwitz. Either way, it is not a surprise that none of them were really up for the job of being loving cuddly grandparents, or raising loving cuddly parents to be, and needed to share the task with others).
She was only 12 at the time, and watched her mother, who she was separated from when they arrived at the camp and never expected to see again, die on the side of a snowy road. She herself only survived that long because the Nazis found her attractive enough to keep around and abuse.
Actually visiting the place made me physically ill, and it still pops up in my nightmares.
On a less personal note, there are of course a lot of worthwhile and important documentaries to watch about the holocaust and Auschwitz in particular, do, but if you only watch one, I think The US and the Holocaust is the most relevant to our times that I have seen in a very very long time, and if it were up to me it would be compulsory viewing for everyone as soon as they are old enough to understand.
Another that comes to mind is Night Will Fall which contains footage from the much harder to find German Concentration Camps Factual Survey that was made during and immediately after liberation, but kept hidden away for decades. (E: if you're in the UK and want to watch it, I've just seen that Night Will Fall is on tonight at midnight on ch4)
Those who refuse to learn from history are deemed to repeat it, which is precisely why we're all only taught a whitewashed version of it.