My big problem with NSight is many of the really great features require you to remote in from another machine that is running your application.
Have you tried RenderDoc? It's free and an amazing graphics debugger.
If you are referring to stepping through shader code, this is no longer the case. You can now do everything on one single (nv) gpu machine.
I think NSight is way superior to the vis graphics debugger. If you have an NV gpu, it is really worth it. It also works with OGL if that is of any use to you.