It occurs to me that when Nietzsche (or existential writers generally) speak of there being no meaning to life, there's a bit of a communication gap there. Specifically, everyone has some intuitive definition of the word "meaning" as it applies to life, and not all of these definitions are mutually compatible. Therefore, to understand what Nietzsche has to say about life's meaning, it needs to be made explicit what he's talking about.
According to Nietzsche, it's a symptom of the decadence of civilization that "Life has no meaning" is interpreted to mean "Life has no value". And yet if accepting the proposition "Life has no value" leads one to despair, one does not truly believe it: one still values the notion that there is, or ought to be, some sort of meaning or value imposed from above so that life can be worth living. But what is meaning? That has yet to be answered.
I suspect that an appropriate metaphor is "There is no story."
Sam asks Frodo in one of the LOTR books (I'm too lazy to look up which) what kind of story they're in. When you think about it, that might be what people look for in a meaning: some kind of unified narrative that gives answers to where they fit into the grand scheme of things. That's what all the major faiths offer, at any rate. Judaism has a deity acting in history for the benefit of his people; Christianity has creation working toward eventual redemption; Hinduism has existence working backward toward a state of perfect nothingness; Buddhism (at least some flavors) paints the universe as working toward enlightenment for all beings. Now, realistically, we all have dozens of stories running concurrently in our minds, at least one per significant relationship; but consider "ultimate stories" for a moment, stories that purport to say something about the meaning of life.
Nietzsche's claim might be couched in this way: there is no story, no divine metaphysical overarching narrative, that can adequately empower existence and give it value. Those stories that try ultimately devalue and debase themselves and those who lean on them for strength.
Without defending this thesis, let's explore what it implies. A story is a human-crafted ways of making life simpler, of organizing it into a manageable conceptual and emotional framework; as a result, however well it lets us live our lives, it will not be entirely true to reality. This would not be an issue were it not for reality's rude habit of not caring what we would like it to be, and dashing our expectations of life and happiness and justice.
Nietzsche's observation carries no moral weight--there is no ought, no should. He doesn't say we should discard stories, or try to get others to abandon their stories, or create new stories. It's pure description: if we rely on a story to give meaning to our life, whether someone else's or our own, then we will be disappointed. (And much more besides that I am either too tired or too lazy to discuss.)
Here I break from Nietzsche's thoughts and begin my own ramblings. What Nietzsche argues applies to stories on a cosmic level, I suspect also applies to the lives of individual people.
I've blogged on this topic before, hitting around the edges but not really expressing what I wanted to say. Here's a more direct formulation. When I write for characters, I invariably come up with this thing called a "back story" that gives their history and motivations and whatnot. Now, the idea that I, or anyone else, has a back story--a single complete, coherent narrative that completely describes the being-that-is-me as I am now--is patently absurd. Yet I impose such a thing on my creations, as if to ensure that they will be less real than I am. I have to, otherwise the stories would never be written (not that they are anyway, but the point still stands). It's a simplification for the sake of craft. And I do the same thing in real life when I meet new people--suddenly I'm nothing more than this thing called a grad student who grew up in a certain place and went to this thing called college and...blah blah. It has to be done; we'd never accomplish anything if we didn't fudge the details of ourselves like that. It's a simplification for the sake of life.
One aspect of being a real human is that no story can completely describe us. That doesn't stop people from trying, and even aggressively trying to convert others to their own story; but then comes disaster, what some call a crisis of faith, but what really happens is that for one brief moment, those people recognize an oversimplification for what it is. Stories simplify and make things easier, but they're not omnipotent, or omniscient. They can be altered or discarded, and sometimes they have to be.
This is not discouraging, but neither is it necessarily empowering. While it is true that we can replace the stories we've been given with stories of our own creation, those stories are liable to fail in the same ways and for the same reasons our old stories failed--through lack of correspondence to an unforgiving reality, lack of support from our will, opposition from entrenched habits, a progressive loss of relevance, etc. Ultimately, no story is adequate to define us, even those stories we create ourselves. Original stories do tend to have a longer shelf life, but they don't last forever.
