The named versions GW brought out have some decent special rules so if you plan on using a Ringwraith with full M/W/F then go for a named one. If you only like using the unnamed wraiths then keep them cheap and cheery. They should be used to
1) Hinder enemy heroes
The most expensive enemy hero is what you should target. Sap Will if the hero has more than 1 Will point. Now if you want to try and kill the hero fast, Compel him forward out of the front line and surround him, double hits for being trapped. Then Transfix turn after turn. This can be risky as one failed roll to transfix might leave your wraith exposed in the next turn.
The other option is to take pot shots with Black Dart. If the hero has 3+ attacks this may be your best option and using 2 Will per turn might be a good investment!
Don't engage enemy heroes with unnamed Wraiths on foot, they may call a Heroic Move against you in the turn after!
2) Terror and Harbingers of Evil
Your Wraith causes Terror but more importantly causes all Good models within 12" to suffer a -1 penalty to courage. You can exploit this by taking Terror causing models such as the Black Numenoreans, Trolls, Shelob etc. If your Nazgul is alive in later turns when your opponents army breaks, this will pay dividends! Just make sure you tackle the enemy heroes first. If your wraith has only 1 will remaining, leave him at the rear of your lines, that -1 to courage of 12" is worth having.
When it comes to choosing stats, it matters how you plan on using the Wraith. When you are fielding one on foot, this limits its abilities and options, for instance it shouldn't see much combat (therefore don't max out on Fate). It also depends on the size of the match AND what the rest of your army will consist of. Below are a few examples
300pt Match
Ringwraith (2/9/0)
1x Mordor Orc Captain
24x Orcs
12 Orc Trackers
600pt Match
Ringwraith (2/12/1)
1 Mordor Orc Captain
1 Morannon Orc Captain
24 Morannon Orcs (shields)
24 Mordor Orcs (spears)
12 Orc Trackers
Troll
Personally I would take a Ringwraith on Horse. If only for the L-O-S advantage, but also you can then use it in combat in later turns, 2 attacks on charge, terror causing, defence 8 etc. If you do go for a steed, take some Fate points. Try using one with a Troll Cheiftain or Shelob! Just watch out for enemy bowfire