Plenty.

For example, the Jewish Sonderkommando at Auschwitz wrote their diaries/memoirs on whatever scraps of paper they could find, and buried them near the ruins of the Gas Chamber. Archaeologists discovered them a few years ago and are in the process of restoring them.

Emanuel Ringelblum collected several diaries from Jews in the Warsaw Ghetto and had them hidden away, to describe and preserve their daily lives and experiences. They were also found after.

Another famous one would be Victor Klemperer. He was Jewish, but converted and married a Non Jew and also served in World War I. While he suffered persecution, he was saved from deportation and extermination due to a combination of luck and the devotion of his wife. He also lived in Germany proper, where some discretion was warranted. He chronicled the experiences of other Jews.

From the other side, several Nazi officials wrote insider accounts of the extermination plan. Most famously Joseph Goebbels (who admitted that 60% of the Jews would be liquidated, among other things) and Hans Frank (Governor of Occupied Poland and not related to Anne Frank), who recorded his job and various transactions. His own memoirs would be used to convict him in the Nuremberg Trials.

Abel J. Hertzberg has kept a diary during his times in Bergen-Belsen. The diary and the stories he wrote about his time in Bergen-Belsen are published in a book called Amor Fati & Tweestromenland. Amor Fati being his stories he wrote down later, and Tweestromenland being his actual diary. I do not know if there is an english version of this book, but I found it an interesting and compelling read into life at Bergen-Belsen.

There are, as the above poster stated, plenty to choose from. I'll recommend Hélène Berr: The Journal of Hélène Berr, Translated by David Bellos with notes by the translator and an afterword by Mariette Job, 2008, McClelland & Stewart, Toronto, as it's one of the ones that I've read. She describes day to day her life as a student at the Sorbonne, studying Keats' poetry, and the slow stranglehold placed upon her life under the Occupation until she and her family were sent to Auschwitz. Incredibly moving reading.