Question: What exactly is the "cooler"?
Question: Who was "Nimrod"?
Answer: Nimrod's actual identity was never revealed in the series. It was only known that he was a British intelligence agent. Nimrod was not Colonel Klink. Hogan had only implied it was him as a ruse to get Klink returned as camp commandant, not wanting him replaced by someone more competent who would impede the Heroes war activities. The term "nimrod" is also slang for a nerdy, doofus type of person, though it's unclear why that was his code name.
"Nimrod" is originally a king and hero mentioned in the Tanach and taken into the Bible and the Koran. His name is often used in the sense of "stalker," "hunter," and sometimes figuratively as "womanizer" as in "hunter of women." I've never seen it used to denote a nerdy person, and although I cannot disprove that connotation, I think given his role, the traditional meaning is more likely the intended one.
It's widespread enough that Wikipedia has an entire section on it: https://en.wikipedia.org/wiki/Nimrod#In_popular_culture
Question: Many times Hogan and company manage to actually escape Stalag 13, especially at night. If they can escape so easily, then why doesn't everybody in the whole Stalag do it and head to an American Embassy?
Answer: The core POWs regularly escaped and returned to the prison camp because they made it their mission to conduct espionage and commit sabotage in the surrounding German territory. They also collaborated with different underground resistance groups and used a network of secret tunnels to help prisoners from other POW camps to escape, who then relayed vital information back to the Allied forces. Hogan and his men maintained the illusion that Stalag 13 had never had any prisoners escape in order to avoid their covert operations being shut down. Being that the prison camp is set in Germany during WWII, there were no American embassies.
Hogan has mentioned to different characters that they are actually stationed at Stalag 13 to help allied soldiers and prisoners from other Stalags to escape Germany.
Question: What season and episode was it when they had to lean the guard tower and the POWs in the camp leaned so the guards would not notice?
Answer: 1-24: How to Cook a German Goose by Radar.
Question: Why do they use gas lamps in the tunnels when they have electricity?
Answer: They would need to have access to a large amount of electrical wiring, lights, and other supplies to rig a usable lighting system. Using electricity could also drain power from the rest of the camp, alerting the Germans that something is going on.
Also. The power would go out during air raids and the like. Whereas oil could be used to stay lit no matter what (despite the fact that it uses oxygen from the tunnel and the fumes would probably kill you).
Question: In the episodes where Hogan or the others tell Schultz what they're planning, why doesn't Schultz report to Klink immediately and tell him? Why claim he sees nothing, hears nothing or knows nothing?
Answer: Essentially, because if Schultz reported what he saw, it would mean admitting that Hogan and his men's very elaborate schemes were happening on his watch, which would get him into very serious trouble. His greatest fear is being sent to the Russian Front, and he's in far too deep with Hogan (e.g, accepting bribes of food) to escape punishment if it all came to light. What may have started as small acts of "looking the other way" (Schultz is a generally friendly person, who may have let things slide a bit early on) has become self-preservation. For their part, Hogan et al. try to avoid getting Schultz into trouble, because if a stricter guard were to replace him, they'd come under much greater scrutiny, which they want to avoid.
Answer: It's a solitary cell. Steve McQueen, star of 'The Great Escape' is known as the 'Cooler King'.