Funny, I overlooked your post about Tanner.
After Tanner's book, Nietzsche: Philosopher, Psychologist, Antichrist by Walter Arnold Kaufmann is a good book I hear. I haven't gotten around to it, but Kauffmann is a master on the subject. It's more in depth than Tanner, i'm sure, since it's a 532 page book.
Really, to TRULY understand Nietzsche, it's best to understand his predecessors, Kant, Hegel, and especially Schopenhauer. Of course, to get Schopenhauer, you need to read Kant.
http://www.amazon.com/German-Philoso...5581383&sr=1-1
or the other edition
http://www.amazon.com/German-Philoso...itle_popover_1
this has Tanner's book on Nietzsche as well as the Very Short Introduction books for Hegel, Schopenhauer, and Kant ( which can be purchased seperately ) but I recommend getting them all together in that.