Nietzsche is brilliant, enigmatic, and subject to multiple interpretions. Since that gets me off the hook, I'll try one.
In The Joyful Wisdom Nietzsche gives his "parable of the madman." The madman (who represents Nietzsche) comes to confront the "village atheists." They confess that God is dead but still live as if God exists. To the madman this is unbelieveable. The death of God (unbelief in God) is not merely theoretical. The village atheists still hold to Judaeo-Christian "slave morality." Call this the Christian "upside-down kingdom" of Mary in Luke 1 as she is astonished that God brings down the proud and powerful and exalts the hungry and poor and needy.
The madman prophetically cries out that, on real atheism, we've left the metaphysical foundation of slave morality (the moral ideas of Christian theism) and are now out on our own without a moral compass. Nietzsche writes that on atheism we've left the "land" behind" and now sail directionless on a sea that has an "infinite horizon." The madman cries: "Who gave us the sponge to wipe away the whole horizon? what did we do when we loosened this earth from its sun? Whither does it now move? Whither do we move? Away from all suns! Do we not dash on unceasingly? Backwards, sideways, forwards, in all directions? Is there still an above and below? do we not stray, as through infinite nothingness?"
In other words, sans God, we're on our own, left to create our own values, left to invent the "sun" we shall orbit around. The real atheist must not live any longer as if the Jesus love-ethic had any meaning.
The madman says, regarding the onset of atheism, "there was never a greater event." But why is the fact of some people like Nietzsche becoming atheists the greatest of all events? The historic nature of this is not simply that a few people stop believing in God. Here's where Nietzsche was and yet remains radical. The historical nature has to do with the abandoning of an entire worldview and the ramifications of such abandonment. Nietzsche is convinced that, since the God of Judaeo-Christian theism does not exist (is "dead"), the only alternative to this is to abandon the morality of that worldview and set off in search of a "higher" morality; viz., a "master morality."
The village atheists look at the madman as if he is... mad. I remain taken by Nietzsche. As a theist myself he is one of the few atheists I take seriously.