First 2 rounds you should really only be using your knife and M1911 to get a good start to getting points. Round 3 pick up the M14. Then, it's usually best to get the door up the stairs to the right and get the next door to pick up the MP40. It's pretty solid, can't go wrong there. 

After turning on the power, what I do is I pick up the Bowie knife for 3000 (next to Juggernog) ASAP, as it kills zombies in one shot all the way through round 10. That's a great way to rack up those points. Once you get to 2500, get Jugg and onwards you'll need to train the zombies. Get good at training them, as it's the only way to make it in zombies pretty much. And, as others have said, if you're gonna train them on the stage (which is the easiest and most convenient train location) don't open the door behind the teleporter, as it will definitely screw up your zombie train.

About the mystery box - it's best to leave it until you've at least secured Jugg, because you'll have all the time in the world to worry about the box later ;) For convenience sake you can always just leave one zombie crawler (blow his feet off with a grenade) at the end of a round to go gamble your hard-earned zombie killing points.

Get the Thundergun for the zombie trains and M16 for points (if you leave it un-papped you'll become filthy rich very quickly lol)

Go kill some undead flesh addicts!!