Do you go AP, tank, DPS, what? I think a hybrid of AP/Tank items would work well, but I'm not sure. I played him against bots the other day just straight AP and he seemed to work out OK; maybe add a Warmog's and he'd still have some pretty good HP.

So, what do the rest of you do? I want to play him more, but I don't want to do MM just yet until I get a decent build and way to play him down...

Nunu's like a hybrid tank mage. Get Catalysts early on, I usually get 2. Turn them into Rods x2 or a Rod + Banshee. Having a Banshee will definitely help with getting your ulti off when the bubble is up. Nashor's Tooth is another fairly nice item. Faster attack rate will let you activate your passive more and -CD means more snowballs for when you chase down an enemy.

Stack HP is the ideal build. Add in AP to give your E and R a boost.

I've done both tank and AP and had success with both.

first time went tank:
cloth armor + health pots
Boots of Swiftness
Banshee's Veil
Sunfire
Sunfire
Nashors Tooth
Thornmail

went 21-8 with this setup, I'm not an awesome player, just fed on a couple of their mans. I was really fast and had a slow and a heal. Their Sion eventually started tearing me up until we start team ganking. also, I killed their Teemo 6 times i think. The nice thing about having the Sunfires (other than having 3900 HP) was that I could actually do some pushing

second time went AP:
meki + health pots
Boots of Swiftness
Mejai's Soulsteeler
Banshee's
Nashors
(game ended there, would have probably gone for the new AP/magic pen staff here)

I like the AP better. I gave me a lot more ganking ability. especially when there is a teemo who tries to tower hug with ~200 HP. my Ice Blast delves for 400+ and my Absolute Zero delves for ~1400.

for Summoner spells I normally take teleport + exhaust, but i'm thinking about taking Cleanse + exhaust. I build for Utility right now. Though I'm thinking about taking the 15% magic pen talent instead.

the AP build is great for improving an awesome nuke. and his ult scales at +3/ap if you can get it off.

Most games I've played as Nunu lately end with me having all of the following:

Banshee's Veil
Glacial Shroud
Berserker's Greaves
Rod of Ages

This does a little bit of everything Nunu ought to be doing. Neo's right on about Catalyst being a great starting item on Nunu; between that and his passive I rarely run short of mana while laning. By the time things have gotten more mobile, you can drop the golem quite quickly if you need a refill; I run Smite to speed up farming and burn them down, personally.

I don't really find Nashor's Tooth to be cost-efficient on Nunu, but it's a good item for him if you've got the money.

In case it needs to be said, max Ice Blast first, get a level or two of Consume on the way, and then switch to Boiling Blood until it's done, grabbing Absolute Zero where available.

I usually stack ROA's, and get sorc's boots. im not very good, but i seem to dominate early-mid game with this. if the other team seems to have a bunch of casters, i get banshee's and abyssal, but that's only happened to me once.

"In case it needs to be said, max Ice Blast first, get a level or two of Consume on the way, and then switch to Boiling Blood until it's done, grabbing Absolute Zero where available."
i do this too (i only get 1 consume until late game)

I always start with meki pendant then build to fiendish codex, i used to get nashor tooth, but the attack speed is pretty useless as he doesn't attack much and has no real damage. It gives a good early combo of mana regen/AP/CD-R. Then depending on how good your doing you can go for mass AP which can be fun but more risky. And always boots of swiftness, its hard enough to pull off his ult, gotta get right next to them or then can walk out of it. Also you can break his ult early to deal minimal damage if they are gonna make it out. Most people don't realize how strong his ult is... I think..