So, I started playing Nightmare too. Mage character.
Some limitations though. I am making a "lock list" (maybe Lancet will be interested :)) of all chest. As such I can never raise my lockpicking (what if it's level 1?) and keep these items. And have to keep a few skill points spare of course.
Also trying to get as many uniques as possible in my chest. From the lowliest to the highest. Probably means hauling some quite a long time around after their usefulness. But that's for later.
Also I was going for maximum XP, first killing foes, then delivering quests. But darn, killing Goblins took so long and with 2 hits I was dead (still lvl 1). So I delivered my quests, upgraded magical missile, started dual wielding a +8 magic damage and +4 magic damage weapon, and now everyone drops like flies to my magic missile spam. Time to teach the skeletons and Goblins I used to run from kiting.
We'll see how effective this tactic remains...
