Harry Hole is a member of the team investigating the robbery, as is a young Beata Lønn (who goes on to feature strongly as a forensics expert in later novels). The two are asked by senior police to form an unofficial investigation team as a rigid Inspector Iversson leads the main team nowhere.
In the meantime, Hole's partner Rakel is in Moscow, fighting for custody of her son. Perfect timing for Anna to reappear in Harry's life. Anna - failed artist, heroin user, binge drinker, wild sex partner from his major boozing days. Dinner with her can't hurt, obviously - so off trots Harry, only to wake up alone in his own bed, hungover, with no memory of the previous night. A phone call takes him back to Anna's flat: she's lying dead on the bed, an apparent suicide - but Harry intuits murder.
More storylines, or complications, are introduced with the character of Roskol, a Gypsy criminal lord imprisoned in Oslo. Can he help Harry? Will he adjudge Harry guilty of Anna's murder and reach out his hand to Moscow to ruin Rakel's court case? Worse, to avenge Anna's death by killing Rakel and her son?
Nemesis is one of the first-written Hole novels though published later in translation. That doesn't affect understanding of long-running matters (such as the enmity between Hole and a police colleague) but it does affect the reading in that this is not up to the standard of some you may already have read, such as The Redbreast. Too many of Nesbo's beloved red herrings rely on ludicrous coincidences, from the presence of Raskol in jail to his blood relationship with Anna, for example. Nemesis is readable and will be appreciated by fans but it won't draw in many new readers.
So, worth reading? On balance, yes. It rattles along and will entertain as long as you can suspend disbelief at certain points. I'll refrain from pointing out any more of those points but I'm sure you'll have a few "Oh, come on!" moments.