How to play through Nightmare Mode, relatively easily.
Useful Tip for Surviving Nightmare Mode
If you want an easier Nightmare, start off in Standard Zone or Dreadzone. After you accumulate weapons, items, and influences, switch to Nightmare Zone. Then you can just keep killing Plague Hearts and clear the game.
It is also nice to level up your characters in lower difficulty first.
Best Way to Kill a Jugg
If possible, just avoid a jugg. It is not worth the effort. But if you must really kill it, I find that using 4 pipe bombs is the best way. 4 Pipe bombs will put Juggs on their knees. Also, the blast will kill off other zombies. And if you have multiple Juggs, pipe bombs will take care of all of them at once.
Next best method is to use .50AP. 4 Headshots will do the trick. But good luck with zombie hordes after that.
7.62mm takes about 45 shots. 12g takes about 20 shots. Any lesser ammo, you are better off with melee.
Do Not Enlist a Follower
AI friends are really really annoyingly stupid. Most of the time, it will become an obstacle rather than an assistance. Often, it would stand idly or run around without engaging zombies. Often, it will block your gun and make your life miserable. Sometimes, it even block your grenades, so your bombs bounce back at you.
Just go alone.
Use Your Car Roof
If you want to engage with a lot of zombies, such as at infestations, you can park your car, climb up to the car roof, make some noise to draw zombies in and use a crossbow to kill every one of them. When you are on your car roof, you are pretty much invulnerable, with an exception of a Jugg.
Do Not Fire Guns Without Suppressors
Firing a gun in Nightmare zone is a terrible idea, unless you have a death wish. The sound of most guns will draw zombies from all over the place - and in Nightmare, that translates too hundreds of zombies.
So, unless you equip a suppressor, do not fire a gun.
Consequently, learn to use a crossbow. You can take out a whole horde or an infestation with a crossbow without zombies ever noticing. Also, bolts are recoverable. Given how many zombies you have to kill in Nightmare, crossbows are much economical.
If you are lucky, you may find a repeating crossbow from a wandering trader. Buy it. It is worth every penny. A repeating crossbow is almost as good as a gun. It can fire 10 bolts before needing a reload.
Equip Heavy Weapons to Your Non-Active Friends
Strangely, if your AI friends fire a gun, the gunshot will not draw zombies in. Use this to your advantage. Whenever I switch out, I always equip heavy weapons - .50AP, grenade launcher, shotgun, etc. So, your base will have a pretty decent firepower.
Then, you can draw in a Jugg to your base, and watch it getting bombarded with .50AP and die in seconds.
In addition, your AI friends have unlimited ammo. So, free kills.