you can use it in any gear, 1st gear is a waste of time on a 50bhp shot unless your running sticky tyres on low psi. its not advised to use it in 5th gear as the car doesn't pull as hard unless you already have a lot of power.
its advised to only use it high up the rev range ie 4k at the minimum. you can use it below but you run the risk of getting an inlet backfire which you don't want.
also don't get a car full of mates and go up a hill on nitrous as this again is putting too much load on the engine.
you can use it for as long as you want but after so many seconds the bottle pressure will drop too low and solenoids will get too cold so you won't get much nitrous through which will just cause massive over-fuelling to the point that the car will bog down.
short bursts are where it is best used and thats why i think its better to have it on a button on the steering wheel and not on a thottle switch. (i've got throttle switch but i do want to change it.)
as vtstom said, the noise on nitrous is awesome, hard to describe but its addictive.
2 big downsides to nitrous though...
1. Its gets expensive to refill if you use it often and you probably will because its a bit addictive
2. your car will feel p1ss slow when you turn the nitrous off.