as soon as you mf in nightmare you remove the ability for any item to drop.
always do hell, depends on your character too, personally if i was a blizz sorc (which is what most mfers are without enigma) then i would farm mausoleum/crypt on whatever difficulty players you want to
no immune to colds in there and they are all zombies/skeletons so they wont do much harm. even if any mobs spawn with deadly combinations like fana/might and extra strong/extra fast for example