Perhaps a quote from the man himself on reading his own works will serve to illuminate the way to read Nietzsche:

To be sure, one thing is necessary above all if one is to practice reading as an art in this way, something that has been unlearned most thoroughly nowadays--and therefore it will be some time before my writings are "readable"--something for which one has almost to be a cow and in any case not a "modern man": rumination. (Nietzsche, Friedrich. "Nietzsche's Preface" On the Genealogy of Morals. Trans. Walter Kaufmann. Random House, Inc., Toronto: 1969.)

Nietzsche is not writing to be commonly understood, this much is clear. This is because -- as he goes on to describe in On the Genealogy of Morals -- language has "fundamental errors of reason... petrified in it" (Nietzsche 45). His point is that language is a way of schematizing the chaos that actually constitutes the world. The subject-object relationship, not in an existential sense -- allow me here to digress and say that Nietzsche is not an existentialist, there is certainly a link between the ideas but existentialism is not compatible with Nietzsche's world of appearances -- but rather in the purely grammatical sense. Nietzsche is a philologist, he is interested in words. He finds the problem that every sentence presupposes that "all effects are conditioned by something that causes effects, by a 'subject'" (Nietzsche 45).

Reading Nietzsche, then, demands a critical eye -- he must be taken at his word. He contradicts himself throughout his writings, but a careful examination of his individual sentences will yield a clearer picture of his thoughts. His text cannot be treated lightly, because the actual line of his thought is concealed by the text -- this is the way in which he circumvents the paradox of grammar that he presents.