Nunu is an amazing champion, his ganking prowess starts as soon as he gets ice blast and continues as long as you build your AP up. He also has the unique ability to neutral and keep up with double lanes, in some cases even keep up with your solos. You can even go further with a double jungle and win ganks with out ever dying, while also being able to take the dragon/stone golem without losing much HP.

Masteries

So to start off, what mastery build should you have? Well I've tried out many, MANY different combination's and they basically revolve around the idea of increasing jungle efficiency. I do not have access to the mastery list right now so I can only give a general idea.

Improved Smite - No Brainer Right here
Improved Heal - If you plan on using heal as your secondary summoner skill this is a easy way to increase your jungling ability.

Defense Tree - This allows you much more staying power in the jungle, with it and the right early item build you won't have to go back to base until you want to or get ganked.

Attack Tree - Not as useful, consume and smite are going to be your major killing abilities. That said improved attack damage isn't a bad thing.

Utility Tree - Another great tree. Increases mana, move speed, decreases cool downs, gives access to more exp.

I'll discuss this more when I can get access to the mastery list next weekend.

Spells

Spells
Consume
Ice blast
Consume
Ice Blast
Consume
Absolute Zero
Ice Blast
Ice Blast
Blood Boil
Ice Blast
Absolute Zero
Blood Boil
Blood Boil
Blood Boil
Blood Boil
Consume
Absolute Zero
Consume

Consume is skilled up a bit at first for the lower cool down and better healing. But after the first three levels finish maxing out Ice blast as it is your major ganking tool, being on a 6 second cooldown without cooldown reduction you can use it twice in every gank. Absolute Zero is taken every chance because it is incredibly good. Blood boil follows because of its utility, as well as your carry should be around the time that he is ready to start pushing so casting it on him can make the difference. Maxed out blood boil can be kept on up to two heroes at one time if you are consistent, so remember that.

Items

For Nunu you're going to want more defensive then offensive or movement because you have to last long enough to get your consume and smite off.
So

Doran's Shield + 1 HP potion
Cloth Armor + 2(3) HP Potions
Regrowth Pendant
HP/Damage Elixir + 2(3) HP Potions

The cloth armor has the most utility as it builds into a pair of boots, which are quite good for nunu I might add. Doran's is a good second as you can jungle indefinitely, just it doesn't build into anything at the moment. Elixir worked fine for me, but it leads to nowhere so not as high in the list. Regrowth isn't worth it unless you plan on building it into something, which in my AP build isn't really where you should be going, at least not early game.

So basically what you should be doing is heading to one of the medium creep camps and smiting the blue lizard, continue attacking him using consume on one of the nearby nuetrals when you get to the point where you can maximize the heal. If you need to pop a potion, he'll eventually fall. After that just cycle around the camps, ignoring the wraiths until you are level 3 or 4. Before that the Wraiths just do to much damage to be worth it. A good point to remember is that Nunu gets a free spell every 10 auto attacks, this is a efficient way to maximize your mana. I've had nuetrals where I've ended at level 6 with nearly full mana and HP because I used his passive properly.

Jungling and start

In a double jungle you're going to do more or less the same except you should both take on the dragon camp at level one(if s/he has smite). If you get the dragon you get the nice DoT from it, if you get the golems, well, at least its still good exp. But basically just switch up tanking roles, in a double jungle there is no excuse for having to go back to base for HP.

Once you reach 2 or 4 you can start ganking. Look for the lane that is pushed past halfway and the enemy champion is around 50-70% hp, they're food when you and your team mate(s) work together on him. You can get off two ice blasts in this scenario, so combined with a stun he won't even reach his tower.

Advanced Items

Once you reach around 2k gold, if you haven't gone back to base yet, go back now. First you want to pick up your boots. You have the option of Boots 3, or boots 2 with dodge or spell damage. They are all equally powerful on Nunu, the dodge boots have the best option because cloth armor is such a great starting item for Nunu. Then pick up a Sheen, this is where your power starts to increase exponentially. Alternate between ganking and nuetraling until you can pick up your Lich Bane. After that its up to you but I usually pick up Xyonias Ring(Spelling?) as it will increase your spell damage by 150 damage with one item, which then translates to increase melee from lich bane.

By this time the games outcome should be decided. Start pushing and you should get a inhibitor down. If the game goes far enough I find picking up a FaN to be most beneficial.

Some worthy mentions are Meja's Soul stealer, if you can gank efficiently its definitely worth the money.
Nunu is an amazing champion, his ganking prowess starts as soon as he gets ice blast and continues as long as you build your AP up. He also has the unique ability to neutral and keep up with double lanes, in some cases even keep up with your solos. You can even go further with a double jungle and win ganks with out ever dying, while also being able to take the dragon/stone golem without losing much HP.

Masteries

So to start off, what mastery build should you have? Well I've tried out many, MANY different combination's and they basically revolve around the idea of increasing jungle efficiency. I do not have access to the mastery list right now so I can only give a general idea.

Improved Smite - No Brainer Right here
Improved Heal - If you plan on using heal as your secondary summoner skill this is a easy way to increase your jungling ability.

Defense Tree - This allows you much more staying power in the jungle, with it and the right early item build you won't have to go back to base until you want to or get ganked.

Attack Tree - Not as useful, consume and smite are going to be your major killing abilities. That said improved attack damage isn't a bad thing.

Utility Tree - Another great tree. Increases mana, move speed, decreases cool downs, gives access to more exp.

I'll discuss this more when I can get access to the mastery list next weekend.

Spells

Spells
Consume
Ice blast
Consume
Ice Blast
Consume
Absolute Zero
Ice Blast
Ice Blast
Blood Boil
Ice Blast
Absolute Zero
Blood Boil
Blood Boil
Blood Boil
Blood Boil
Consume
Absolute Zero
Consume

Consume is skilled up a bit at first for the lower cool down and better healing. But after the first three levels finish maxing out Ice blast as it is your major ganking tool, being on a 6 second cooldown without cooldown reduction you can use it twice in every gank. Absolute Zero is taken every chance because it is incredibly good. Blood boil follows because of its utility, as well as your carry should be around the time that he is ready to start pushing so casting it on him can make the difference. Maxed out blood boil can be kept on up to two heroes at one time if you are consistent, so remember that.

Items

For Nunu you're going to want more defensive then offensive or movement because you have to last long enough to get your consume and smite off.
So

Doran's Shield + 1 HP potion
Cloth Armor + 2(3) HP Potions
Regrowth Pendant
HP/Damage Elixir + 2(3) HP Potions

The cloth armor has the most utility as it builds into a pair of boots, which are quite good for nunu I might add. Doran's is a good second as you can jungle indefinitely, just it doesn't build into anything at the moment. Elixir worked fine for me, but it leads to nowhere so not as high in the list. Regrowth isn't worth it unless you plan on building it into something, which in my AP build isn't really where you should be going, at least not early game.

So basically what you should be doing is heading to one of the medium creep camps and smiting the blue lizard, continue attacking him using consume on one of the nearby nuetrals when you get to the point where you can maximize the heal. If you need to pop a potion, he'll eventually fall. After that just cycle around the camps, ignoring the wraiths until you are level 3 or 4. Before that the Wraiths just do to much damage to be worth it. A good point to remember is that Nunu gets a free spell every 10 auto attacks, this is a efficient way to maximize your mana. I've had nuetrals where I've ended at level 6 with nearly full mana and HP because I used his passive properly.

Jungling and start

In a double jungle you're going to do more or less the same except you should both take on the dragon camp at level one(if s/he has smite). If you get the dragon you get the nice DoT from it, if you get the golems, well, at least its still good exp. But basically just switch up tanking roles, in a double jungle there is no excuse for having to go back to base for HP.

Once you reach 2 or 4 you can start ganking. Look for the lane that is pushed past halfway and the enemy champion is around 50-70% hp, they're food when you and your team mate(s) work together on him. You can get off two ice blasts in this scenario, so combined with a stun he won't even reach his tower.

Advanced Items

Once you reach around 2k gold, if you haven't gone back to base yet, go back now. First you want to pick up your boots. You have the option of Boots 3, or boots 2 with dodge or spell damage. They are all equally powerful on Nunu, the dodge boots have the best option because cloth armor is such a great starting item for Nunu. Then pick up a Sheen, this is where your power starts to increase exponentially. Alternate between ganking and nuetraling until you can pick up your Lich Bane. After that its up to you but I usually pick up Xyonias Ring(Spelling?) as it will increase your spell damage by 150 damage with one item, which then translates to increase melee from lich bane.

By this time the games outcome should be decided. Start pushing and you should get a inhibitor down. If the game goes far enough I find picking up a FaN to be most beneficial.

Some worthy mentions are Meja's Soul stealer, if you can gank efficiently its definitely worth the money.