Depends on how bad you've got it... You can try the tools available for download from Symantec or Macafee, and if you're not too badly infected they might work. I had a friend who got it so bad he had a few thousand infected files - he had to reformat.
You're at the risk for data loss in the sense that you won't want to keep any files that have been infected... Nimda doesn't delete stuff itself, though.