Not Updated For Current Season
The masteries shown here are not yet updated for the current season, the guide author needs to set up the new masteries. As such, they will be different than the masteries you see in-game.
This is the build I've being doing lately. Any comments/tips are appreciated.
I prefer to take Doran's Ring to start off with. I think the item is perfect for early game Nunu because it gives everything you could want for early game.
Rylai's Scepter is a must for Nunu. It stacks with Ice Blast, and with the cooldown reduction on Ice Blast it is even more awesome.
The 6th item you take in this build is either Abyssal Scepter or Zhonya's Hourglass depending on enemy team setup. (AP or AD)
It is important that you sell Doran's Ring in endgame. Buy an Elixir of Brilliance while you save up money for your last item.
If at any point you find yourself in base, and do not have enough money to buy anything: get an elixir of brilliance. The cooldown reduction is huge, and will result in atleast one kill for you.
The runes are pretty straightforward. Cooldown reduc is awesome for Ice Blast. Also, I prefer the runes per level over the early game boost, as you'll be getting most kills from level 6+ anyways. The per level runes are better from level ~11 and onwards.
However I prefer to take Quintessences of Fortitude (+health) over the Vitality (health/per level) rune. This is because I don't want to be too squishy early game.