I am using a template, but not to 100%!
Credits to jhoijhoi for the template, which you can find here.

Pros + Can slow enemies + Good lane sustain with Consume + Deals a very good amount of damage with the ultimate

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Cons - Easy-to-dodge Ultimate - Can't solo lane against Any ranged champion, will get pushed - Absolute Zero needs very good positioning

Flash: Good for Initiating Absolute Zero and getting out of fights.

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Teleport: Well, moving around the map, always awesome, especially if you have a ward and want to go there.

(A replacement for flash would be Ghost)

Ghost: Run faster after super fast enemies, to start slowing them or to chase if your slow skills are down!

Now My masteries focus on AP as Nunu & Willump Doesn't get the most damage output without them.
Summoners insight for Both of the summoner spells. I take all defending masteries, as Resistance and Hardiness for a few % of reduced damage.

Visionary
Every 7 attacks you get one Skill for free
Every 7 Attacks, the next skill one will not cost mana, applies for all skills. Consume
You eat any monster or minion and regain health
You eat a minion and recover health while dealing massive amounts of damage, like smite but better. Blood Boil
You recive movement speed and attack speed
You will recive movement speed and you and/or an ally will get an attack speed. Ice blast
Deal damage and slow the enemy with this
When using ice blast, Nunu will throw an icicle at an enemy to deal damage and slow them Absolute Zero
Slow enemies in a AOE and Deal damage after channeling
You slow all enemies in your aoe and deal damage after channeling, the longer you channel the more damage.

This item build is to give Nunu & Willump a lot of tankyness while having a good amount of damage output! Doran's selection: Now there is 2 Doran's items you could choose, but i recommend Doran's Shield. The second one you could choose is Doran's Ring, giving you some AP. I think the HP regen and Armor are better than Just HP and some lame AP.
The second choice on boots is as follows: If you want a short Absolute Zero Cooldown, get Ionian Boots of Lucidity
If you want more damage output, get Sorcerer's Shoes
If the enemy team has hard CC, get Mercury's Treads
Now your next core part is very dependant, If you are getting killed a lot get Rod of Ages OR Rylai's Crystal Scepter for some AP and HP.

My Preferred item order is Doran's Shield> Ionian Boots of Lucidity> Rod of Ages > Rylai's Crystal Scepter> Guardian Angel> If any money left, Lich Bane OPTIONAL ITEMS SECTION
If the enemy is very AD heavy: Frozen Heart, Thornmail, or Sunfire Aegis Instead of Guardian Angel
If the enemy is very AP heavy: Force of Nature, Banshee's Veil, or Aegis of the Legion Instead of Guardian Angel

Nunu & Willump Does NOT have any specific skill combo, but there are different situations where to use one. The Escape: If you're on a lane, use Consume to eat a minion, use Blood Boil To run away afterwards The Chase: First, cast Blood Boil on yourself or a friend, if there, and use Ice Blast to slow them. The bush Absolute Zero: In case your team is being chased, and you're in a brush, wait for your team to arrive and use Absolute Zero, You may easily kill any enemy with this (if they have Alistar It sucks for you.)

Slow PENTAKILL Play Video Fast PENTAKILL Play Video Broken link :(

This was my guide, more updates soon. I'M NOT DONE WITH THIS GUIDE
There's always Room for improvement-MobileForce's Motto UPDATES:
17/1/12:Added some descriptions, added a new section.
More updates to be expected!
12/2/12: Changed the items. Changed the masteries. 22/5/2012- Changed items