The Zombie Island DLC doesn't have anything to do with the main story, but it does have end-game spoilers in it, so you probably shouldn't don't do that until after you beat the game. Then I know that the Secret Armory continues the story from its end, so that's another thing you probably shouldn't do until later. I may be wrong, but its enemies may have static levels, as well, at around level 35, so it's pretty much impossible any earlier than that.
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Xbox GT/PSN name: TatteredUniform - SSBB FC: 1891-0831-5747 (TEETS)
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