I've been playing a lot of 3v3's to prepare for some ranked play with my friends, and I haven't found and solid 3v3 Nunu builds, only Summoner's rift. So I hope that this guide might help you take a peek at the way I build Nunu on twisted treeline.

I go Magic Penetration Marks to give your snowballs and absolute zeros that little extra kick you need to do some serious business.
Then I go mana/5 per level to solve some of my personal mana problems, plus I don't have enough IP to buy another set yet :(. Armor is totally viable too.
Then I go flat CDR for my glyphs to allow me to use my spells when I want to, and that way there isn't any awkward "I can't cast I'm going to die!" time.
Lastly I split my Quints among flat AP and HP. The ap is to give the kick, the HP is to survive.

I feel like there are many things you could take depending on your personal play style with Nunu. I find that Flash tends to be the absolute best escape and gank skill that you can nab. Ghost may provide some nice speed, but flash gets you there. Especially in Twisted Treeline where there are SO MANY WALLS, you want Flash.

As for Exhaust, I feel like the debuff you gain from the masteries provides excellent early game ganking. In combination with your snowball, you can escape or pursue with SO much ease. The gank is just yours for the tanking with that much slow in your hands.

I go 9/0/21 for masteries. The 9 in offense picks up the standard AP magic penetration and takes a point in the exhaust mastery. In utility I pick up the essential experience and HP/MP regen. I only take two points in quickness in favor of snagging the extra gold/10.

I start off with ruby crystal so that way early game survivability is high, and this way I can go straight to my kindlegem to build my Spirit Visage. After getting first blood with my team (or so I hope) I go back to get boots, hp pot, and a ward. YOU NEED WARDS. Sight = won games. In a small map like Twisted Treeline, MIA calls are useless. If you ward the center of the map, then err'one can rest a lot easier (provided they're paying attention).
After snagging Spirit Visage, I go straight for the revolver. Now I can gain massive HP from minions/monsters, and your survivability shoots through the roof. Plus the AP from the Hextech Revolver gives your abilites a nice AP kick to boot!
Phage then allows you to increase the number of slows you have, and so your team can chase that much easier. Nunu is amazing when he can slow everyone enough to have your entire team catch up and get the ACE. :P Then go for Trinity Force, because it boosts your speed to catch up to running enemies, increases your damage/AP with Sheen's cool effects, and boosts your phage. At this point the core build is over.

The last items you most likely won't get to. They're just AP items to finish off the game nice and easy while padding the number of kills you gain.

If the enemy team is ALL AD and:
a) they rely on autoattacks. Get a thornmail STAT.
b) they don't rely on autoattacks. Get a Sunfire cape. Added HP and Armor along with a nice AoE.
c) they focus you first because you're ripping up the field. Get a Guardian Angel!

If the enemy team is ALL AP and:
a) They rely heavily on burst damage. Get a banshee's veil.
b) They have super duper CC. Get a quicksilver sash.
c) They have pretty constant damage. Get a Force of Nature.
You might even want to get a Force of Nature anyways.

Play smart, and react to how the other team is building. Meanwhile, also ward the field so you can react to how the other team is moving. The core items get you strong, the situational ones allow you to use that strength without exploding.

Get snowball if you can afford to be aggresive.
Get consume if you have to play defensively.
Blood boil can wait till later when you start killing turrets and Dragon.
Use your ultimate AFTER the major CC has been used, or right as the enemy team walks into a bush with your team waiting. Don't just HERP A DERP and use it for the lol's...unless you're pwning. Then feel free!

Use your noggin' and react to the other team! You should play according to your enemy, not how you prefer. Otherwise I can guarantee you there shall be no mercy.

Now go out there and lay some tracks!