It's such a vast topic, there are dozens of interesting angles to do a project on. Here are a few ideas to get you started:
1) You can do a top ten list of heroes who resisted the Holocaust or helped Jews to survive it. Oskar Schindler is a famous example, but there are many, many others. Look up Raoul Wallenberg, or how Denmark saved every one of their Jews, for starters. There were also Jewish partisan groups in the Soviet Union and Poland.
2) How about a project on the hunt for Nazis and Holocaust criminals after the war. You can concentrate on the work of the Simon Wiesenthal Center, as well as the trials of Nazis that have been apprehended.
3) Dachau was the first concentration camp, and many of the methods used in that camp were copied and used in other camps throughout the system later. You could examine how the machinery of death was slowly built and perfected by the Nazis. You could also concentrate on Theresienstadt, a camp for famous Jews that the Red Cross was often invited to inspect. How did the Nazis pull off the masquerade?