It is a strange thing that the camp was not watched while darkness lasted of the night Oct. 6-7, and the crossing of the Road into the southward lands seems not to have been observed, so that [the Witch- king] again lost track of the Ring. For this there were probably several reasons, the least to be expected being the most important, namely that [the Witch-king], the great captain, was actually dismayed. He had been shaken by the fire of Gandalf, and began to perceive that the mission on which Sauron had sent him was one of great peril to himself both by the way, and on his return to his Master (if unsuccessful); and he had been doing ill, so far achieving nothing save rousing the power of the Wise and directing them to the Ring.

But above all the timid and terrified Bearer had resisted him, had dared to strike at him with an enchanted sword made by his own enemies long ago for his destruction. Narrowly it had missed him. How he had come by it - save in the Barrows of Cardolan. Then he was in some way mightier than the B[arrow]-wight; and he called on Elbereth, a name of terror to the Nazgul. He was then in league with the High Elves of the Havens.

Escaping a wound that would have been as deadly to him as the Mordor-knife to Frodo (as was proved at the end), he withdrew and hid for a while, out of doubt and fear both of Aragorn and especially of Frodo. But fear of Sauron, and the forces of Sauron’s will was the stronger.

‘I galloped to Weathertop like a gale, and I reached it before sundown on my second day from Bree – and they were there before me. They drew away from me, for they felt the coming of my anger and they dared not face it while the Sun was in the sky. But they closed round at night, and I was besieged on the hill-top, in the old ring of Amon Sûl. I was hard put to it indeed: such light and flame cannot have been seen on Weathertop since the war-beacons of old.

‘At sunrise I escaped and fled towards the north. I could not hope to do more.'

'Caught between fire and water, and seeing an Elf-lord revealed in his wrath, they were dismayed, and their horses were stricken with madness. Three were carried away by the first assault of the flood; the others were now hurled into the water by their horses and overwhelmed.’

Dear Mr Hastings,

Thank you very much for your long letter. I am sorry that I have not the time to answer it, as fully as it deserves. You have at any rate paid me the compliment of taking me seriously; though I cannot avoid wondering whether it is not ‘too seriously’, or in the wrong directions. The tale is after all in the ultimate analysis a tale, a piece of literature, intended to have literary effect, and not real history. That the device adopted, that of giving its setting an historical air or feeling, and (an illusion of ?) three dimensions, is successful, seems shown by the fact that several correspondents have treated it in the same way–according to their different points of interest or knowledge: i.e. as if it were a report of ‘real’ times and places, which my ignorance or carelessness had misrepresented in places or failed to describe properly in others. Its economics, science, artefacts, religion, and philosophy are defective, or at least sketchy.

Letter 153 (in draft form To Peter Hastings, 1954)

["Tolkien Fandom: taking it ‘too seriously’, or in the wrong directions since 1954" - would make a good T-shirt]
[By "sketchy" Tolkien means the British and 20th Century meaning of the term - "like a sketch" (i.e. lacking in detail). Using it that way I've sometimes inadvertently amused my kids, to whom 'sketchy' has a newer meaning: something like 'morally dubious' ]

During the siege of Minas Tirith, could not the Nazgul have done what they did at Bree, use their sprit form to get through the physical walls of the city and cause chaos and misery inside? Or at least find out some secret entries and weakness?

“Children are capable, of course, of literary belief, when the story-maker’s art is good enough to produce it. That state of mind has been called ‘willing suspension of disbelief’. But this does not seem to me a good description of what happens. What really happens is that the story-maker proves a successful ‘sub-creator’. He makes a Secondary World which your mind can enter. Inside it, what he relates is ‘true’: it accords with the laws of that world. You therefore believe it, while you are, as it were, inside. The moment disbelief arises, the spell is broken; the magic, or rather art, has failed. You are then out in the Primary World again, looking at the little abortive Secondary World from outside. If you are obliged, by kindliness or circumstance, to stay, then disbelief must be suspended (or stifled), otherwise listening and looking would become intolerable. But this suspension of disbelief is a substitute for the genuine thing, a subterfuge we use when condescending to games or make-believe, or when trying (more or less willingly) to find what virtue we can in the work of an art that has for us failed.”
On Fairy-stories

...according to their different points of interest or knowledge: i.e. as if it were a report of ‘real’ times and places, which my ignorance or carelessness had misrepresented in places or failed to describe properly in others. Its economics, science, artefacts, religion, and philosophy are defective, or at least sketchy.

Letter 153

My theory:
The Witch-king is a vampire, and so are all the Nazgûl.

This may sound unlikely at first, but the textual evidence goes with the idea surprisingly well and explains many things.

(I have an in-progress theory post on vampires on Tolkien on which I made some good advancement a while ago, but which turned out to be a major undertaking because there is so much material to cover. I think I probably should prioritize getting that theory in shape.)

Also, I think the Witch-king didn't actually want to kill Éowyn and would rather she had not intervened. This would have been why he chose to speak rather than attack immediately. He was hoping that Éowyn would back down so that he could let her live.

I think the Witch-king's Ring of Power may have been the Ring of Frost, hence his powers over winter. My theory is that all the Rings of Power had specialties like that.

Vampires do exist in Tolkien's Middle-earth, but they are Maiar, not undead mortal Men. We only know of one human-like Vampire and that was Thuringwethil, a messenger of Sauron during the First Age that could take the form of a vampire with an iron claw on each wing. She was slain either by the hound Huan or in the collapse of Sauron's fortress on Tol-in-Gaurhoth (the "Isle of Werewolves"). Sauron, himself, did take on the shape of a Vampire on at least one occasion, to escape Huan.

Tolkien's only other reference to Vampires was to the huge bats that covered the sky during the Battle of Five Armies and descended to feast on the fallen among the Men, Elves and Dwarves.

The Ringwraiths were sustained by their Rings and the will of Sauron. There is no evidence that they needed to feed on the blood or life force of Men or other beings. But go ahead and make your case.

“Frodo waited, like a bird at the approach of a snake, unable to move. And as he waited, he felt, more urgent than ever before, the command that he should put on the Ring. But great as the pressure was, he felt no inclination now to yield to it. He knew that the Ring would only betray him, and that he had not, even if he put it on, the power to face the Morgul-king–not yet. There was no longer any answer to that command in his own will, dismayed by terror though it was, and he felt only the beating upon him of a great power from outside.”

It's fun that "Which king was the Witch King?" would be a perfectly reasonable question within Tolkien fandom.