A popular figure at Bramall Lane, Nilsen played six seasons under five different managers, with a number of games at centre-back - particularly after United switched to a wing-back formation in 1997/98. He started the 1997 playoff final defeat at Wembley against Crystal Palace, and United's defeat to Newcastle in the FA Cup semi-final in 1998. It was in that cup-run where Nilsen had arguably his most memorable moment, during the quarter-final penalty shootout win over Coventry City.