By the time Nietzsche finishes the Genealogy, the demolition work is largely done. The question is: what comes after? Thus Spoke Zarathustra (1883–85) is his most literary and most visionary work, a prose poem in which the prophet Zarathustra descends from his mountain to deliver his teaching, and it contains the three ideas that define the constructive side of Nietzsche's project.
The Last Man is introduced early in Zarathustra, and he is the negative pole: the most contemptible human being. The last man is the product of slave morality taken to its conclusion. He has invented happiness: a small, comfortable, safe, average life in which no great demands are made and no great achievements are attempted. He blinks. He values health, a little pleasure, a little work, a little play. He has no master and no servant. "We have invented happiness," say the last men, and they blink. The last man does not know what it is to long for something greater than himself. He is the terminus of Western civilization if the values of comfort, equality, and the avoidance of suffering are allowed to run to their natural end. And the crowd in Zarathustra, hearing Zarathustra speak of the Übermensch, cries out: "Give us this last man! Make us into these last men!"
The Übermensch (often translated as "Superman" or "Overman," but better left in German) is Zarathustra's positive vision: not a description of any actual person but a direction and a task. "The Übermensch is the meaning of the earth," Zarathustra says. "I beseech you, my brothers, remain faithful to the earth, and do not believe those who speak to you of otherworldly hopes." The Übermensch is the human being who has overcome the slave morality that disfigures humanity, who creates values rather than inheriting them, who affirms life fully including its suffering, who does not need metaphysical consolation or otherworldly redemption. The Übermensch does not exist. But humanity can strive toward this possibility.
A vital philosophical point: Nietzsche is an anti-realist about values. He does not think the Übermensch discovers a pre-existing set of objective values. He creates them. As the SEP emphasizes, this is what makes his positive ethics so difficult to grasp: he explicitly says that whatever has value in our world "does not have value in itself... but has been given value at some time, and it was we who gave and bestowed it." Value creation is genuinely creative, not the discovery of moral facts.
Eternal Recurrence is the most philosophically enigmatic of the three concepts, and intentionally so. Nietzsche introduces it in The Gay Science as a thought experiment: what if some demon were to tell you that you would have to live your life again, exactly as you have lived it, infinite times, with nothing new and nothing changed? Would this thought fill you with terror or with joy? If the thought of living your life again exactly as you have lived it is unbearable, if there is something in your life that you could not affirm on this condition, then something is wrong with how you are living.
Eternal recurrence is not a cosmological claim that Nietzsche is endorsing as literally true (though he did apparently believe it could be given a scientific formulation). It is a life-diagnostic: the ultimate test of whether you are living with genuine affirmation, whether you are creating values rather than accepting them by default, whether your life could bear infinite repetition with complete amor fati (love of fate). As the IEP notes, it is connected to the Übermensch precisely through this: the Übermensch would be someone who could hear the idea of eternal recurrence and say yes. Most people cannot. And that inability is itself diagnostic of the slave morality in which they are still caught.