Keep in mind, Nunu is not an initiator. The CC needs to get blown on someone else so he can use his ultimate. If you do draft/ranked, I also wouldn't recommend playing Nunu against a CC heavy team if you're one of the later picks. Unless the enemy team has 0 CC, you need to recognize when they've blown their abilities which means be familiar with what everyone can do.
One of the best ways to use the ult is as a surprise ambush from the brush. In anything more than maybe 2v2, this requires a bit of coordination and know-how from you team mates since someone needs to bait and draw the CC. Nunu has incredible utility, but he needs a team who knows how to use him. Solo queuing with him you'll definitely have mixed results.
Since your ult is highly dependent upon your ability to survive, make sure you're building against their biggest damage threats. I like Sunfire Cape on Nunu since it goes well with his tendency to be in the middle of things. Rod of Ages is good for health and AP. The Rylais passive is a bit redundant on Nunu, but if you need to stack health against true damage, it's not a bad choice. Shurelya's, Soul Shroud, Aegis, and Frozen Heart also go well on him. I almost always build Frozen Heart for the CDR. Thornmail and Force of Nature are good situational picks if the enemy team is unbalanced or you're countering a specific threat. I've experimented with Haunting Guise too. It's a nice early-mid game item. With the combined AP and MP it's effectively true damage and the health doesn't hurt either. You will however need to replace it later.
Finally, remember you can break the ult early. If say, a tank, is about to walk out of range, let him go since you probably won't kill him anyways. If the ADC is about to get out, though, it's often better to at least get partial damage on him.