I could probably spend a lot of time examining the numerous implications of Nietzsche's "eternal recurrence," but since other, more qualified people have already done so (such as here) , I'll just mention another perspective which occurred to me since my previous entry on Beyond Good and Evil, which is that it strikes me as an abstract/materialistic variation on the concept of reincarnation, but without karma or evolution (a conclusion I reached before reading any essays on the subject). This would allow Nietzsche to regard himself as having been perfected, and being unaccountable for his deeds on Earth - just the attitude required to be a smug "higher man," the same sort of self-created creature which Ayn Rand used for her heroes:
"…O Zarathustra, who you are and must become" behold you are the teacher of the eternal recurrence – that is your destiny! That you as the first must teach this doctrine – how could this great destiny not be your greatest danger and sickness too?"Behold, we know what you teach: that all things recur eternally, and we ourselves too; and that we have already existed an eternal number of times, and all things with us.[...]"Now I die and vanish… THE SOUL IS AS IMMORTAL AS THE BODY. [Actually, neither soul nor body is eternal, but just the spirit.] But the knot of causes in which I am entangled recurs and will create me again. [Note the sleight of logic.] I myself belong to the causes of eternal recurrence. I come again, with this sun, with this earth, with this eagle, with this serpent – not to a new life or a better life or a similar life: I come back eternally to this same, selfsame life, in what is greatest as in what is smallest, to teach again the eternal recurrence of all things…" from Nietzsche's Thus Spake Zarathustra [Nietzsche's fictional Zarathustra]
According to the above-referenced essay, the above passage is the closest Nietzsche comes to "proving" his claims about "eternal recurrence." It boils down to wishful thinking on Nietzsche's part.