This is probably my favourite short story... it pretty much defines the word 'tragedy'!
I think it's possible to see the nightingale in two lights. Either she's innocently sacrificing herself, or she's an idiot to be so naive as to do this for someone who clearly wouldn't give a damn anyway. You need to look at it in the context of other stories in The Happy Prince: The Devoted Friend is clearly a fool for being so self-sacrificing to someone who obviously couldn't care less about him, but the Selfish Giant is ultimately rewarded for his kindness. I think the message, if literature should ever have a message, is that you should be helpful to people who need and deserve it, like the selfish giant, but should be wary of being misled by callous ungrateful people, like the Devoted Friend. Therefore I think the what the Nightingale does is noble in one respect, but she is a fatally poor judge of character and this causes her to make the ultimate sacrifice for someone completely undeserving.
What a lovely story, I nearly cried when I read it... it's sad that well-intentioned people can be so abused if they lack a sense of realism.