Frodo, to himself: Don't be intimidated, Frodo. Try to imagine them in their underwear.
*puts on Ring*
OH NO THEY’RE HOT NAKED!
If the Nazgul didn’t wear the black robes, they’d be invisible, which would make them even more deadly and scary. But they’d be able to see each other being naked and it would probably be super awkward for them. That’s why they wear the robes.