Nicolay is also known for playing the accordion and piano in The World/Inferno Friendship Society; for founding the composer-performer collective Anti-Social Music, and for performing in the Balkan jazz quartet Guignol.

Nicolay has worked as a producer, arranger, session musician, and collaborator with Sincere Engineer, Mischief Brew, Leftöver Crack, The Dresden Dolls, The Loved Ones, and The Living End.

[12] Guignol, described by the Times of London as "a combination of punk, jazz, folk, tango, klezmer, cheap red wine, woolly pinstriped suits, newsboy caps and one waxed moustache,"[13] is a quartet founded in 2002 by Nicolay and clarinetist Peter Hess (World/Inferno Friendship Society, Balkan Beat Box) to accompany performers from the Coney Island sideshow at a weekly show at CBGB.

[15] In 2005, Guignol made a guest appearance on the album "Smash the Windows," by the Philadelphia folk-punk band Mischief Brew.

[18] After appearing as a guest on The Hold Steady's debut "Almost Killed Me," Nicolay joined the band in 2004: "World/Inferno played some shows with Lifter Puller in Chicago a long time ago, then when Craig (Finn) moved to New York he was doing A&R for the now-defunct DCN live label and signed us up for the live record ‘Hallowmas at Northsix’.

[23] In 2016 The Hold Steady announced a series of concerts celebrating the tenth anniversary of Boys and Girls in America, featuring Nicolay with the band.

On November 5, 2008, Nicolay announced he would be releasing his first full-length solo album, titled Major General, with former World/Inferno bandmate Yula Beeri currently of Nanuchka, Brian Viglione of World/Inferno and The Dresden Dolls and Jared P. Scott of Demander.

Nicolay produced the album The Birth and Death of Meaning and EP "Follow Me" by The Debutante Hour, as well as playing several instruments and providing guest vocals.

[30] In 2015, he announced that his book "The Humorless Ladies of Border Control," about DIY touring in the formerly Communist world, would be published by The New Press in early 2016.