The main purpose of this build is to be able to tank effectively while still being able to dish out some awesome slows and magic damage. I take a 9/0/21 build to benefit the caster side of nunu remembering to take smite to get some extra gold during jungling. Runes are more on the tank side along with Items that give him well rounded armor, magic resistance, and a great deal of health. It is very important if you are going to tank to be rounded out. The more deadly you are the higher priority it is to kill you, if you just have tons of health and don't do much damage they will target other champions and leave you alone. As a tank you want everyone to be fighting you instead of your team members and if you can scare them to attack you then you have done your job and the rest of your team should be able to pummel the enemy team and it won't be long before the enemy would say GG.
Let's get started!

I take 9 magic resist per level marks, 9 armor per level seals, 9 mana regen per level glyphs, and finally 3 flat health quintessences. The marks and seals to help round out nunu's tanking ability, the glyphs because I always seem to have low mana and this helps with that, and the quintessences to help out with his health in general as well. You can trade in the glyphs for health per level but nunu really doesn't need it. This may not be the best rune choice but it fits how I build Nunu the best.

Now for masteries it is very important to get 2 things. #1 is to get the utility mastery full so that nunu can be more potent for a greater duration. #2 is to get Archaic Knowledge so nunu's ice blast and absolute zero spells are much more damaging. The other masteries I have are chosen because I think it fits the build the best. Smite for jungling, reduced cooldowns and recharge times for nunu's spells, greater health and mana and their respective regens, and increased movement speed all seem to help round out being a tank. It is important to be rounded and not just a full on tank as stated in the intro.

Main Item build: (Little hint, I get sapphire crystal to help
Mercury Treads with the high cost of ice blast and consume
Rod of Ages at low levels soon going into catalyst the
Warmog's Armor protector and then Rod of Ages)
Frozen Heart
Force of Nature
Spirit Visage

I choose these items because it is, simply put, great for tanking. Warmog's Armor and Force of Nature help with health and health regen BIG TIME along with some magic resist, Frozen heart helps with the much needed armor and has a great passive, Spirit Visage works well with all the health that Nunu gets and Rod of Ages and the Mercury Treads help with rounding out.
If you have to change items it is important to keep Rod of Ages, Warmog's Armor, and Frozen Heart (unless if the circumstances are right and Frozen Mallet seems more fit)
During games, I don't always get these items but it is all circumstantial. So here are my suggested alternitives

Mercury Treads (Sorcerer's Shoes, Boots of Mobility) Sorcerer's shoe being the best bet.
Rod of Ages (None DO NOT GET RID OF!)
Warmog's Armor (None DO NOT GET RID OF!)
Frozen Heart (Frozen Mallet as stated before) The armor of Heart is better I think though.
Force of Nature (Guardian Angel, Banshee's Veil) G. Angel or Banshee's Veil add survivability.
Spirit Visage (Thornmail, Aegis of Legion) These are good if the enemy team does not have heavy casters and you want to tank more efficiently.
If you find yourself in a situation of heavy casters and not many heavy melee champions you might want to trade Spirit visage for Banshee's Veil and keep Force of Nature
If you find yourself in a situation of heavy melee champions and not many casters Thornmail instead of Force of Nature with Spirit Visage works great as well.

Whenever you are jungling with Nunu you must get consume and you must get it first. It is pretty much another smite that heals you and can max out at 900 to 1000 damage. Early game you can get buffs really quick and ensure last hitting on minions. It is also good for hitting dragon. Now, I usually would max this first but it seemed to work out just fine with switching between itself and ice blast. Getting ice blast at level 2 is important if you get counterjungled because you can slow and run or possibly turn the stakes and take the kill instead. Ice blast is the spell that will help you gank during the early and mid portions of the game. Blood boil is nice and you might want to incorporate it earlier but at level 1 you get a pretty nice boost to speed and attack speed but any more than that is better used for the other two skills.
Your ultimate, Absolute Zero is the most important skill you need to place perfectly or it won't work. Make sure you get it whenever you can at the respective levels (6/11/16). If you can get all 5 of the enemy team in its radius then use it even if you loose one or two before it strikes, it is better to hit 3 with a high damage hit then hit 5 with a very low. I will explain a little more on placing later.

Summoner Spells:
Smite (A must for a jungler and can not be traded)

Flash (This is a great escape mechanism and is imperitive to placing a good Absolute Zero)

Smite, um...yeah...DUH. You jungle, you have smite. Smite helps with last hitting minions for that much needed gold and helps late game for taking down the dragon and baron a lot quicker when used in succession with consume.

Flash, during the game, mid-game especially (you don't quite have all the items you need), you will need this to escape certain death but its true power shines when you use it to place Absolute Zero. So you are in a team fight and you are beating the team back, but wait, they have a clear shot to run away, FLASH right behind them, Absolute Zero, hit them all with a 900-1100 damage shockwave of slow then finish of the last one or two champions with ice blast and the rest of your team. It is important to look and see if you can "cut off" their escape with a flash and your ulti making it very difficult for them to survive the fight. Another use is when your team is being chased and you were late to the fight, flash in, ulti, team runs away, ice blast somebody and then run to regroup. The uses go on but I will not. If you find it hard to use it in this way you can switch it for...

Teleport: To regroup after you die or if they are on the other side of the map.
Ghost: To help with closing distances between enemies that are almost dead or running away.
Clarity: If you find yourself low on mana as well as your team members.
Heal: For early game survival if needed and to help out your friends who are low on health.

DO NOT GET...
Rally, Clairvoyance, Exhaust, Cleanse, Fortify, Revive, or Ignite because they don't really suit the needs of Nunu and can be replaced for better.

(If you don't get flash remember to change the blink of an eye mastery to something else like Greed or Good Hands)