I'm not sure anyone knows why the Jews were persecuted so often through history... but I have a few hypotheses.
1. The Jews have been a strong and unified minority within a lot of different cultures, some who accepted others who did not. For instance under the Persians and Romans, they were more or less tolerated as long as they agreed to live under the empire. But the Assyrians demanded assimilation of their subjects. The Jews, being a strong and unified minority, would end up being recipients of persecution any time they fall under the reign of such an empire.
2. The Jews were the only culture to survive such a strong history of persecution over so many generations, always being in the edges of society rather than the primary culture... and more importanttly they recorded it. A lot of other such groups might have been destroyed under persecution or perhaps they just didn't do as good a job at recording it. The Roma have a long history of persecution also.
3. The Jews have a religion that indicates they are the chosen people. For a variety of reasons, from the unification and resolve this gives them to the general abrasiveness this might have brought to other cultures, this might have caused them more persecution when under the reign of other cultures. It would also help to explain how they've managed to record this history in such a way that it seems an ongoing story.
4. The Jews have a history of doing well in the professional classes of societies in which they are tolerated, sometimes cornering markets. This leads to resentment in other groups, especially the modal group of the society and leads to persecution when a change occurs in system. WWII is not the only such instance. Chinese in the Phillipines have been widely despised and victims of many crimes due to their status in professional careers. There is a scholar (her name's something like Amy Chua) who studied the phenomenon of what happens when countries with a "privileged minority" suddenly become democratized... typically leads to violence. That is what the Sunnis are afraid of in Iraq.
Could be one, some, all, or none of those things.
