I've found there isn't a whole lot you can do to make them tasty -- frozen food is, to me at least, a "oh no, I'm drunk and it's 3am and I want something to eat without driving" food, or a "oh no, it's 3am and I've forgotten to eat because I'm studying and I want something to eat without driving" food. What you can do, however, is let them defrost a little bit and then add spices (I add cayenne pepper or red pepper flakes, but I am also not putting a large amount of effort into it at that point) before cooking them.
Note: I have no idea how safe this actually is, but it seems to work okay.
Another thing you can do is use them with other things. Chop up the chicken nuggets and mix them into fried rice or whatever. Depending on the type of chicken nugget, you can slice them into thin chicken nuggets and put them on a sandwich (with a little mayo, lettuce, onion, etc)
Edit: I also forgot to mention sauce. Chicken nuggets are pretty bland, so if you make an awesome sauce to dip them in it can mask the (lack of) flavor pretty well.