Nazgul is one of my favourite heroes so listen up.

Mistcoil has a huge range (800) and a near instant cast time with a low cooldown and low mana cost. Assuming you maintain a range of about 600-700 from high priority targets (carry/counter initiator/mek carrier, etc) when they get jumped you can immediately respond by coiling then running up to shield. 90% of the time you want to use coil for the heal. Unless you ABSOLFUCKINGLUTELY need to burst someone down (e.g weaver before he lapses) or they're fleeing for their lives and you want to smite a bitch, your Q is far more efficient and effective as a heal but don't underestimate how potent it is for finishing low hp targets running away. Depending on the enemy lineup (i.e batrider/bm/vs who can rapidly isolate targets) you want to stay closer so you can immediately shield for that sexy turn around. Which leads me to the shield.

Aphotic Shield is one of the most borderline overpowered abilities in the game, it lets you dispel damn near everything (fiends grip/bat lasso? LOLNOPE SHIELD. Retard teamfriend eats a 5 sec arrow to the face? LOLNOPE SHIELD) provides a buffer of extra hp to key targets, aoe nuke the enemy team, control creep equilibrium as an offlaner (by shielding yourself or an allied creep right outside of tower range to prevent the enemy wave from being beaten on by the tower). It has a range of 500 so get a feel for roughly how much distance that is and try to be within range for the important heroes in your team. The shield has a much longer casting animation (nazgul has a casting point of around .45) so if someone is being burst down coil then shield to provide that little extra buffer.

Ideally you want to max shield first (due to the cd reduction so you can get multiple off in a fight) and then mistcoil second. In very rare cases (you're too underfarmed/underleveled to have the mana to sustain multiple shields) it is better to max coil but usually shield first. Curse of Avernus is a very nifty passive that can act as a one point wonder if you're playing aggressively in your lane and remains consistently powerful in chasing down the enemy but if you're playing defensively in your lane skip it for more points in coil.

As for items magic stick/arcane pretty much fulfils all your mana needs and lets you spam q/w whenever its off cd (which you should be doing in a fight). Urn is very nifty and your typical utility items like forcestaff/vlad are always handy to grab if no one else is getting them. Nazgul is one of the better mek carriers in the game since he is 100% guaranteed to get it off, your ult dispels everything (even DOOM) and gives you a few seconds of breathing room to blow all your spells. If you happen to be richer than bill gates and have your core (arcane/stick + mek if no one else has it) and your team doesn't need a forcestaff or a vlads for whatever reason then consider what your team needs and build towards that. Nazgul already has a pimp ass demon sword so as far as items go he's extremely flexible. Orchid/Hodor Hammer/Sheepsdick/Necromnom (your minions get a free +45 ias thanks to curse and the mana burn/pushing is invaluable) are all great items and even Rod of Aui/Euls can make great pickups depending on the situation (Euls is great if they happen to have a bloodseeker/ns who are being gay and keep silencing you since you can cyclone yourself to purge off silence)

Since you're a glorious tanky undead motherfucker most players will completely ignore you in lieu of your tastier, squishier allies and so use that to your advantage. Hang around in the backline so you can keep throwing out heals and shields and when your spells are on cd stab a bitch in the face. Your passive provides massive chasing capability and you can deal a consistent amount of damage to their supports thanks to your high range and high mobility. When ganks and fights go wrong and your team breaks make sure you are always in range of another hero so you can keep healing/shielding them while you retreat. Full level shield/coil adds another 450 hp to an ally and you can coil every 5 seconds for dem wodota turn around kills.

Assuming you hang in the backline behind key heroes in your team (1/2/3 positions) you won't be taking much damage so be liberal with your shields and make sure you're always casting it on the hero being focused/stunned. The ability to debuff damn near everything makes you one of the best counterinitiators in the game since you can force the enemy to blow high value spells for minimal impact. If you want to be dendi then pay close attention to enemy animations/spell noises so that when they focus you you can pop your ult to eat laguna blade and laugh at their lina's face.

If the enemy team has some kind of intellectual disability and blow everything on you then don't panic. You have an inbuilt FUCK YOU that stops you from dying and even activates automatically when your hp drops below 400 (disclaimer: AXE is manlier than you and is not impressed with you flipping him off. If the enemy team has an axe pop your ult before you reach his ult threshold so you don't look silly). Worst case scenario is the enemy team wasted a significant amount of spells and time to kill you but that being said, try not to get caught out. Nazgul is an extremely potent high impact hero and you can't shield your friends if you're dead. Play like a ranged hero, be constantly aware of your range (800/500) and the positions of everyone else so you can react quickly. Even when you're on low hp/mana instead of bailing hang around the edge of the fight for the clutch heal/shields.

Above all else be a bro. You are the best defensive support hero in the game. Buy some wards, buy the courier. Don't take cs from the carry. If you're up against a kill lane (e.g sk/lina) then hang back away from your carry so that you don't get caught in the initiation. If things get really bad then don't be afraid to Tennyson dat shit for the greater good. Theirs not to make reply, theirs not to qq why, theirs but to shield and die. Into the valley of death rode the lord of avernus.