I lost quite some time trying to get Sonatype Nexus to use NTLM authentication but couldn’t get it to work. As far i understand JDK 6 has support for NTLM authentication, but because Nexus is using commons-httpclient version 3.1 it doesn’t work.
Anyway, the workaround that finally fixed this situation is by installing cntlm. Cntlm will handle the authentication, you just have to configure Nexus to use cntlm as your proyx.