Nietzsche is quite of a complex philosopher to read directly without any guide that looks at his thought holistically imho. I would recommend:
1. Walter Kaufmann’s Nietzsche, Philosopher, Psychologist, Antichrist
2. Basic writings of Nietzsche with Introduction by Peter Gay
Translated and edited by Walter Kaufmann
Commentary by Martin Heidegger, Albert Camus, and Gilles Deleuze
This is from Cambridge Press, copyright 2002. If it is in the public domain I don't understand why. But if it is, I want to know what other Cambridge Press titles are!
1. Walter Kaufmann’s Nietzsche, Philosopher, Psychologist, Antichrist
2. Basic writings of Nietzsche with Introduction by Peter Gay Translated and edited by Walter Kaufmann Commentary by Martin Heidegger, Albert Camus, and Gilles Deleuze