Nidalee is hard to play, but very efficient.
This build is what I think to be the better config to play her, but you can't afford any mistake or you'll die. Nidalee is very squishy but move really well, so if you play her perfectly you can not die all game long.
So don't give up!

Ps: Forgive me for my bad english, I'm French ^^"

Teleport
BRB in 10sec, no xp lost, no last hit lost. And if your opponent is pushing your tower, low/mid life, you can teleport close to him then Flash and Pounce to catch and finish him.

Flash
Just necessary, I don't think I've to explain it.

Doran's Ring
Some HP, some AP, some MP5, what else?

Boots of Swiftness
You have to move faster than your opponents, boots 2 aren't enough since everyone take it...

Sheen
In cougar form you spam your skills, so sheen will proc every 2 seconds. Once you own it, if your team's doing great (if your opponents aren't feed) your ganks are devastating, so you have to leave your lane and get some kills.

Guinsoo's Rageblade
Since you can spam your skills as a cougar, you can keep the 8 stacks all the time you want. So it's 35AD, 93AP and 32AS for only 2235po.

Moonflair Spellblade
Tenacity roxx.

Rabadon's Deathcap
MORE AP!

Lich Bane
Upgrade your sheen, upgrade your burst!

Guardian Angel
Cause you really don't want to die.