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Is it not a "fact" that Nietzche loved to outrage? Is it also not a "fact" that if someone blows my head off, I am then dead?

So it would appear. The point of "there are no facts, only interpretations" is that too many people too blithely believe that their characterization of their own percepts is the same thing as an independently existing reality. They're not. They may be close; they may be close most of the time; they may be sufficiently close most of the time, but they're not the same. Something like this can be seen in a poster on a Cubs game thread who said, "Baseball is boring" as though the predicate were an intrinsic property of the subject rather than an unwitting description of his own reaction to the subject.

He's a lot more right than you think. You can posit that a certain relationship or characteristic exists on its own apart from anyone's perception and call it a "fact." You can further posit that if it is perceived by different people with similar abilities under similar circumstances they'll all come up with a similar description and call that similar description a "fact." However, as soon as someone has taken his percept and compared and contrasted it with his previous experiences in the context of his intellectual abilities and formulated a description of what he experienced, he has produced an interpretation of his percept. If there are enough similar descriptions under similar circumstances, people say that a "fact" has been established. This, of course, may or may not be true, but whatever the case, the consistency lies in their interpretation of what they believe they experienced.