"The Grey Zone" - already listed above by Carl - is an outstanding film, which I can fully recommend.
Needless to say - for all its deep humanity and moments of hope-against-hope and of inspiration - this is an intense, dark tragedy that goes straight for the viewer's heart and throat.
The title can be read in many ways, as most of the protagonists move in grey zones... Such as the doctor, who is somewhere between a victim and a collaborator and the men of the Sonderkommando who exist between life and death.
Also, many of the characters are confronted with difficult moral choices; dilemmas for which the film offers no easy answers to the viewer, either.
Visually supporting this, much of the imagery is also dominated by cold and depressing shades of grey, such as many a scene in the concrete rooms and hallways of the crematoria complex.
The film has an extraordinarily strong cast down to the smallest supporting roles, but the portrayal that impressed me most is Harvey Keitel's Oberscharführer Muhsfeldt.
This is not a one-dimensional movie psycho; here is a man who derives no pleasure from his work. In his long dialogues with the doctor, we learn that he suffers from permanent headaches, sleeplessness and nightmares and that he drinks way too much. (Indeed, he reaches for a glass of brandy or a hip flask in most of his scenes.) He clearly hates what he does... But, it is his duty and to this simple-minded, thick-necked, unintelligent type, that is all that matters. To refuse orders or to even attempt getting out of it all is, literally, unimaginable to him. And so he carries on with his murderous work. Without joy, but ever so efficient and reliable.
Ultimately, this is a much more powerful and believable portrayal than the all-too-often seen cartoon-villain/movie-psycho Nazis. It is also quite an accurate depiction of the men who made up the majority of the camp guards.
See: The Grey Zone (2001) - IMDb