They were 9 men who seek power from Sauron and became his servants for the One Ring. So their directive is none other than finding the One Ring and return it to Sauron.
As Wraith, they do not have any form in the physical form least their black robes and the weapon they held. Even if the victim can't see their eyes, they can feel the terror of the Wraith looking into your soul.
The hands if they touch you, are long, sharp and cold.
Their weapons are not without dark magic. Frodo was wounded by a short blade and it was not able to heal by any normal healing method. That blade is a Morgul blade.
Ring Wraith also has a long sword with them for any melee if they encounter.
It is not like they really need weapon as any prolonged encounters with a Nazgûl caused unconsciousness and nightmares, an effect known as "the Black Breath".
So in short, their weapon is pure fear.
Even the toy seems scary. Nonetheless, it is cool.
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