I put this guide together because lately I have been playing Nunu in different roles (jungle, Top, support) and needed someplace where I can find everything in one place and also with the new season 3 items added in. I have borrowed most of the Nunu top build from Mogwai (pre season 3 guide) and just modified for some new items I think can add value. Will really appreciate any input to improve these guides. Masteries might need some work and will appreciate feedback on this. The start and core builds work well - the situational items - well again this will probably change as the season 3 meta develops and as I figure the new items out. This by no means a definitave guide on Nunu - just something that reflects my playstyle. I got silver in season 2 so not a high end player by any means :)

Will add sections later on why chose certain runes, masteries etc pros cons and all the rest to make this a proper guide. For now let me know how I can improve it please! And please vote for my guide if you like it and give a reason if you down vote it - Thanks!
Enjoy!

updated Runes and items 2012-12-07
updated support items - bit more early damage 2012-12-07
Added jungling route 2013-01-15
Updated items 2013-01-15
Updated items 2013-02-14 - because with p3.02 Liandrys will allow your ult to fully burn everyone....

Consume : This is the spell that gives Nunu & Willump great sustain playing top or jungle. With Hextech Revolver this gives great sustain

Blood Boil : This is the ability that help make Nunu & Willump a great support. Cast this on AD carry to increase their attack speed and movement speed.

Ice Blast : This is great poking and engaging spell. Slows enemy, decrease their attack speed and deals damage. Use this to initiate ganks, poke or help your AD carry kill them by simultaneously using Blood Boil on your ADC.

Absolute Zero : Basically big circle of slow that at end deals damage. You can stop it early by pressing R again or moving. The best time to use this is when standing in a bush - enemy can't see the circle if they can't see you. Or in middle of team fight if they are to busy focusing your ADC to run away. Works well if you start channeling in a bush and your team lures theirs in. By time they realise what is happening your Ulti pops for maximum damage (at max it deals 1125 + 250% of AP damage) This can make a significant dent in anyones health. Rather pop it early and deal some damage than allow them to get out of the circle.

For Top: R>>E>>Q>>WFor Jungle: R>>Q>>E>>WFor Support: R>>E>>W>>Q

A good site to see new shop and check new items and get used to where to find them is Microtomy

Hextech Revolver, Glacial Shroud and Athene's Unholy Grail form the core of Nunu & Willumps build. With masteries you will get 40% CD, good mana pool and regen, some armor, MR and AP. It gives Nunu & Willump great sustain and poking ability and makes it difficult to push him out of lane.

For Top
Glacial Shroud builds into Frozen Heart or the new Iceborn Gauntlet. I get Frozen Heart almost every game and then decide between Will of the Ancients and Hextech Gunblade depending if team needs a WotA. Hextech Gunblade and Blood Boil works very well together. If playing for example against a Teemo ruch your chalice and Athehenes for the magic resist and Mercury's Treads for the tenacity.

For jungle the new Hunter's Machete and Spirit Stone will form core of most jungle builds. On Nunu & Willump I will build Spirit Stone into Spirit of the Spectral Wraith. Both Spirit of the Elder Lizard and Spirit of the Ancient Golem are also viable items if you feel the need to do more damage or be more tanky. Glacial Shroud, Hextech Revolver are important items depending on which spirit upgrade you went for. If build Spirit of the Ancient Golem then don't build Mercury's Treads as the tenacity doens't stack. Rather go for Ninja Tabi for the additional armor. With Liandry's Torment buff in P3.02 your ulti will now burn for 10% of enemies life over 5 seconds and not 5% anymore. This + all the AP in the build you potentially deal 1500+ damage per champ when using full Ult. ( Absolute Zero deals 1125 damage + 250% of AP which in this build is about 250: Thus 1125 + 625 = 1750 + 10% of enemies health ===== AWESOME!!)
(Make sure Ulti doesn't get interrupted - get Zhonya's Hourglass if this happens often)

For support Sightstone will probably a must for any support, Shard of True Ice and Mikael's Blessing are some nice support items. Banner of Command is also viable

Runic Bulwark is a must for support if no-one else on team is building it

This is the jungling routes I use most often:

If playing with random team start at Blue (1) and ask for tema to help damage ,then go Wolves (2) , Wraiths (3), Golems (5) do red buff (4) , wraiths again (3) . You should now be lvl 4. You can now either do wolves (2) again and go back (should have enough gold for Philo) or look at lanes (6) and go gank if necassary. If ganking you can use pots to get back to full health otherwise don't use and go back.

If with team you know can start at Wolves (2) then do Blue (1) and follow normal route.