I'm busy assembling an evaluation guide for the upcoming release of Nexus Professional, and while I was working on material for Pro it occurred to me that we could do a better job supporting new users of Nexus OSS. Here is a Nexus OSS evaluation guide that focuses on the initial steps with Nexus. If you download Nexus from http://nexus.sonatype.org this is the faster way to get up and running - you'll be proxying and publishing artifacts in a few minutes.
Update 2013-05: The evaluation guide has been updated and is now available in HTML and PDF format.
This document also hits a point I'd like to emphasize. I'm convinced that most people just download Nexus OSS and use it as a simply proxy of Central. While this certainly is a great use of Nexus, the real magic starts happening once you use Nexus as a destination for internal artifacts. If you use Nexus and you are not publishing your own artifacts to it, you are missing out.
If you have any feedback, we'd love to hear it.