Your job in a Team Fight is to keep Buff your AD carry and stop others from dieing, even if it means you have to die. Use Ice Blast when pursuing or escaping to put huge slows on enemies. Absolute Zero can be used either to surprise the enemy, make them run or even prevent an escape if used in the right location. If you have actives from your items, you have to make sure to use them at the right time.

Good Points
Nunu works well with most carries and doesn't get too harassed by other supports.
Good for harassing early game.
Visionary and Consume can help stay in lane longer.
His Absolute Zero can change team fights, making it difficult to escape.
He brings buffs to fights.
He is good for helping take that last chunk of health at Baron and Dragon with Consume.

Bad Points
Unfortunately Nunu comes with no stuns.
He doesn't have Heals like other supports.