This passage, which is certainly his most controversial and well known, is the reason why I think its best to start with the Genealogy of Morals. That's the text where he presents his most sustained explanation of the Madman parable. Though the Genealogy does require a little background explanation and set up. If anyone is feelin' it I can post my notes to the introduction to help you work through things. Just let me know.
Error of philosophers.— The philosopher believes that the value of his philosophy lies in the whole, in the building: posterity discovers it in the bricks with which he built and which are then often used again for better building: in the fact, that is to say, that that building can be destroyed and nonetheless possess value as material.
The philosopher has no need to be understood. Also no one should say that one has misunderstood another, definitely not when the other is dead. The value of writing is in it's ability to be reinterpreted. Defining someones intention when reading their work is the error that will block further discovery. Works have a way of speaking for themselves that sometimes the writer does not know. I read a quote here somewhere "when books open their mouths, authors should shut theirs."
Kaufmann's translation is good for this one, although he does have a kind of interpretive agenda going as well. I still like it the most though of the English translations. Usually online Common is the best you're going to get, which is the one in the old timey king James vernacular. Leaves a little something to be desired, but still cool. Thomas Common trans. http://eserver.org/philosophy/nietzsche-zarathustra.txt
The following is one of my favorite passages from Thus Spoke Zarathustra.