Will to Power is a key one, as it was decidedly not his intended work, but instead heavily influenced by the editorial input of his sister. If you can read German, finding Alfred Baumler's annotated edition of Nietzche's works would serve you very well, as he was a major influence on the 'nazifying', but I don't know if those exist in English. Baumler's own work Nietzsche: The Philosopher and Politician and the essay "Hellas and Germania" are key here too. I would also point to Thus Spoke Zarathustra in conjunction with Wolfgang Schultz's "Nietzsche’s Zarathustra and the Historical Zarathustra", another Nazi writer. If you haven't already gotten ahold ot it Nietzsche: Philosopher, Psychologist, Antichrist by Walter Kaufmann is an invaluable text, of course, and devotes a chapter to this which will serve you well.

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