It might be helpful to state exactly what you mean by "being a nihilist".
When I look at http://en.wikipedia.org/wiki/Nihilism I surely agree with the basic statements at the basis of its definition (no objective purpose, no superbeing, etc...).
That said, the question is not whether there is no objective purpose, but rather what kind of pursuing purposes can make life nicer. I think that there is a clear subjective perception of what is a "nice life". You prefer (I suppose) lying on the beach of a fancy hotel drinking a cocktail with some sexy star(s) adoring you, than being tortured in basement or the dungeon of the palace of an obscure dictator. That undeniable subjective experiencing of "better life" sets out a purpose by itself.
I believe I identify with Nihilism in the same sense vanesch does. Nihilism does not stop me being able to enjoy a beautiful concept or alluring art or a 'majestic sight'.