This writeup is merely intended to present a chronology of the books Nietzsche published or readied for publication in his lifetime. Many of these were printed in different formats at different times--here, each work is listed only once, in its most complete form as commonly available today. Also, many of the names of the books have been translated various ways; only one is given for each:
  1. 1872: The Birth of Tragedy
  2. 1873-1876: Untimely Meditations
    1. David Strauss, The Confessor and Writer
    2. On the Advantage and Disadvantage of History for Life
    3. Schopenhauer as Educator
    4. Richard Wagner in Bayreuth
  3. 1878: Human, All Too Human
  4. 1879: Mixed Opinions and Aphorisms
  5. 1880: The Wanderer and His Shadow
  6. 1881: Daybreak
  7. 1882: The Gay Science
  8. 1883-1892: Thus Spoke Zarathustra
    1. 1883: Part I
    2. 1884: Parts II and III
    3. 1891-1892: Part IV (composed several years earlier)
  9. 1886: Beyond Good and Evil
  10. 1887: Toward a Geneology of Morals
  11. 1888: The Case of Wagner
  12. 1889: Twilight of the Idols (composed 1888)
  13. 1895: The Antichrist (composed 1888)
  14. 1895: Nietzsche Contra Wagner (composed 1888)
  15. 1908: Ecce Homo (composed 1888)
In addition, Will to Power, a collection of Nietzsche's notes selected by his sister and published later, has also been widely studied (though with a degree of dubiousness). Human, All Too Human, Mixed Opinions and Aphorisms, and The Wanderer and His Shadow are often sold as one volume (for example, my copy in the excellent Cambridge University Press series Cambridge Texts in the History of Philosophy has these three all under the name of the first work). Also, several collections of Nietzsche's work exist, whereby it is possible to acquire his writings at reduced expense. I have both Viking's The Portable Nietzsche and the Modern Library's Basic Writings of Nietzsche.

Thanks go to Dr. Paul Eisenberg of Indiana University for the chronology above.