Nietzsche as an ontological nihilist - patently silly. If anything, Nietzsche is a materialist. Certainly he denied any reality to the soul. Of course Nietzsche recognizes an external world independent of human senses and desires (something doubted by no one other than narcissistic toddlers, academic work suggesting the contrary notwithstanding). At the beginning of his career he was talking grandly about the universe in Truth and Lies, and on his last sane day he was insisting on the primacy of physiology. In between:

Others even say that the external world is the work of our organs! But then our organs themselves would be - the work of our organs! It seems to me that this is a complete reductio ad absurdum, assuming that the concept of a causa sui is something fundamentally absurd. Consequently, the external world is not the work of our organs"

Nietzsche as an epistemic nihilist - misses the point entirely. We can actually be quite exact about this: Nietzsche denies the possibility of knowledge only and precisely to the extent that one holds a perverse view of knowledge. If you're a positivist, pre-Quinean empiricist - or, even more so, a Cartesian insisting upon an architectonic built on first principles - then Nietzsche is a nihilist. If you're a reasonable and healthy human being - or, even more so, a rhetorical theorist comfortable with discursively-mediated knowledge that falls short of certainty - then Nietzsche is the ultimate anti-nihilist:

It may really be the case that... a metaphysician's ambition to hold a hopeless position may participate and ultimately prefer even a handful of "certainty" to a whole carload of beautiful possibilities; there may actually be puritanical fanatics of conscience who prefer even a certain nothing to an uncertain something to lie down on - and die. But this is nihilism and the sign of a despairing, mortally weary soul - however courageous the gestures of such a virtue may look

There appears to be some confusion on this point, so in the interest of clarification: when he associates nihilism with a "despairing, mortally weary soul," that's not meant as an endorsement. In BGE we get "Let the people suppose that knowledge means knowing things entirely". Or more precisely: "nihilism represents a pathological transition stage (what is pathological is the tremendous generalization, the inference that there is no meaning at all" (WP) We're not sure how he could be any more plain.

There's a certain irony in the fact that most of the scholarship that this last passage indicts - the "since we can't know something for certain it follows that we can't know anything at all" kind - is of the postmodern and critical variety. Ditto for the nominalist, difference-celebrating cultural studies version of this over-generalization: "since categories are imperfect and leave some stuff out, we should get rid of them".

Nietzsche as an axiological nihilist - seriously? The guy who talked about noble and slave morality - who celebrated the amor fati of Dionysian affirmation as the essence of a full life - denied that there are good and bad values? Really?

Nietzsche as an aesthetic nihilist - borderline offensive. Nietzsche reserved particular contempt for two things: the Christian values that ruined Pascal and coarse cultures that forgo the sublime to wallow in decadent art. The latter he considers literally unworthy of comment: in Ecce Homo, he observes that he has "no word, only a glace, for those who date to pronounce the word 'Faust' in the presence of [Byron's] Manfred". But it's not a coincidence that he is borderline venomous about precisely those two phenomena: Nietzschean ethics and aesthetics are tangled both conceptually and socially. Conceptually - as in Ecce Homo where Nietzsche speaks of high and low "aesthetic values" - and socially - as in the Birth of Tragedy where he calls for hard and penetrating art that will "give value to existence".

But, pace some of the more exuberant aesthetic partisans in the aesthetic vs. epistemic rhetoric debates, the two registers are not inextricably linked to the extent where life-affirming values produce good art and decadent values produce bad art (although at least the rhetoric-as-aesthetic people have the benefit of having been over-exuberant in the right direction). Always the circumstantialist, Nietzsche is explicit about the sometimes dramatic disjunct between laudatory values and sublime art, the relationship between the two providing the context for one of his more elegant descriptions of sublimation:

To this day I am still looking for a work that equals the dangerous fascination and the gruesome and sweet infinity of Tristan - and look in all the arts in vain. All the strangeness of Leonardo da Vinci emerge from their spell at the first note of Tristan. This work is emphatically Wagner's non plus ultra; with the Meistersinger and the Ring he recuperated from it. Becoming healthier - is a retrogression, given a nature like Wagner's

Perhaps the only more elegant example of Nietzsche's insistence upon the circumstantial, by the by, is the famous passage on the origin of European nihilism:

The end of Christianity - at the hands of its own morality (which cannot be replaced), which turns against the Christian God (the sense of truthfulness, developed highly by Christianity, is nauseated by the falseness and mendaciousness of all Christian interpretations of the world and of history; rebound from "God is truth" to the fanatical faith "All is false"; Buddhism of action -)

Truth be told, we're actually even more partial to BGE's perfect "it is certainly not the least charm of a theory that it is refutable." But we understand that on the topic of "Nietzsche's best line," reasonable people will differ. You know what reasonable people can't differ about? Whether Nietzsche was not a nihilist.

References:

* Nietzsche, Friedrich. Beyond Good and Evil: Prelude to a Philosophy of the Future. Trans. Walter Kaufmann. Ed. Walter Kaufmann. New York: Vintage, 1989.
* Nietzsche, Friedrich. The Will to Power. Trans. Walter Kaufmann and R.J. Hollingdale. Ed. Walter Kaufmann. New Ed ed. New York: Vintage, 1968.
* Nietzsche, Friedrich. On the Genealogy of Morals and Ecce Homo. Trans. Walter Kaufmann and R.J. Hollingdale. Ed. Walter Kaufmann. New York: Vintage Books, 1969.
* Nietzsche, Friedrich. The Birth of Tragedy and the Case of Wagner. Trans. Walter Kaufmann. Ed. Walter Kaufmann. 1st Vintage Ed ed. New York: Vintage, 1967.