With Modernism, religion had been displaced. God could no longer explain anything. Nietszche called this "The Death of God". We have killed God, no one can tell us what we should do, we can't assure what's right. What now? Do we get lost?
Nietzsche had always criticized society. He accuses us of being conformists: we no longer yearn for anything, we only search our safety. Why is longevity a virtue? Nietzsche called this "Last Man". The Last Man denies God's death and tries to hide behind new Gods, such as the State or money. He's always looking for excuses to not exert his freedom.
"One no longer becomes poor or rich; both are too burdensome. Who still wants to rule? Who still wants to obey? Both are too burdensome. (...) Every one wants the same; every one is equal: he who has other sentiments goes voluntarily into the madhouse." - From Thus Spoke Zarathustra.
Nietzsche wants us to accept our weaknesses, our contradictions, and stop denying our freedom. Sure, it's easier said than done. Yet, what I take from this is the importance of taking decisions. You can think a lot of things, but you are only defined by your actions.