The death of God
The death of God is first discussed in this work. His famous commentary exists in the book in two places. The first follows a discussion of Buddhism as a religion formed in the shadow of a dead man, and he says "God is dead," but that people will hold strictly to religions for thousands of years longer, until they attain the bravery to throw their assumptions about life away.
In the second location, Nietzsche argues in a way that suggests he won't respect an atheist who claims God is dead but still lives their lives as if they are meaningful or orderly. In "The parable of a madman," Nietzsche explores our guilt in the death of God, and the result: Absolute chaos, horror, and death.
Nihilism instead of atheism
Instead of abandoning God in pursuit of rationalism and humanism, Nietzsche advocates for unbridled nihilism. According to the Madman, without a God to put the sun in the sky, no man should trust what they see by the light of the sun. Therefore, nature, reason, religion—all endeavors of human knowledge—should be discarded, because they're all secretly theistic endeavors.
Recurrence and torture
Nietzsche is convinced that God has severed his attachment to people, or that He is literally dead. In either case, that does not mean that Nietzsche can ignore his physical and temporal existence. He casually mentions one of his nightmares, that secretly, humans are already in hell, repeating their lives over and over again ad infinitum. He toys with the idea that existence is torture.