I maintain that the Gears of War 2's horde mode and Halo: Reach's Firefight are the best examples of well done "Horde Mode" gameplay. The enemies are not outrageously buffed as the match goes on (they're identical to Campaign enemies), the enemy spawning works in such a way that you can "throw your back to a wall", and there's a definite end (Round 50 and beating Myrrah in Gears of War 2 / Whatever you set it to in Reach).
Nazi Zombies is definitely what you're talking about, though. The gamemode is set to where you can never win, and the zombies eventually get so fast you need to both cheese their pathfinding AI and pray you can get the OP weapons quick enough. Not to mention, if you're playing solo, you die in two hits. And there's just so little variety in the zombies overall that the devs compensate by spawning in dozens of them all at once around you, and make them unreasonably tanky.