Nozick's writing style is very exploratory. He explains this in the preface of the book. His main goal is to "stimulate others to help" in the project he has begun. Methodologically, he is not interested in just providing one big deductive argument for libertarianism (though you can find one). He likes presenting all these different puzzles, thoughts, conjectures together, because he says that he believes "philosophers aren't as certain or sure of themselves as they make themselves appear ... they are a lot more humble than that."
In his later books, like Philosophical Explanations, he expands on this methodology. He wants to move away from what he calls "coercive philosophy", where you almost force other people to accept what you are saying. He wants to follow a kind of "Parthenon model" of philosophizing, where you building something with multiple foundations, so that if one of the base pieces falls, you still have something beautiful and philosophically insightful. Normally, if you lose one of your base assumptions in one of those big, towering philosophical theories, then the entire theory falls and we lose what we learned later on (that could have stood alone).
Another analogy he makes, in ASU, about philosophers is that they know where the weaknesses are in their argument or theory. He writes that it's like philosophers go around with a camera, push in all the bulging sides of a theory, place it at just the right angle, and snap a picture 'at a fast shutter speed", and present the photo as if the model we've made is perfect. But it's not, and we know deep inside that it's not, because that's what it means to be a philosopher. We are more humble than that.
That said, he does write that he presents his arguments for libertarianism with as much force as he can, and that he knows that the academic establishment is very hostile to the ideas he sets out. As for it being sketchy and not having deep explanations, I think that's just a product of others not being acquainted with other libertarian literature. Nozick writes that he has "become accustomed to looking at the world through a libertarian lens", which is something other people normally aren't able to do. Recall that Nozick was a socialist before converting to a libertarian; in fact, he was the founder of the socialist party or group during his time at Columbia University. (Moreover, the number of footnotes and citations is tremendous; he's drawing on a huge body of work, all of which can provide more detail. It would be redundant for him to go over all these things. *The difference is that libertarians are acquainted with all this material, whereas others haven't read it yet, so they just assume that Nozick is starting from no base at all and doesn't take time to explain it. It already exists!)
One example of this would be Nagel's famous criticism of Nozick. Nagel wrote that Nozick provided "libertarianism without foundations". But this is an obvious cheap-shot. Detractors will say that, as a result, ASU is sketchy and under-argued. But, the foundations are obvious for Nozick: the foundations are Lockean and Kantian. For example, he specifically draws on the second formulation of the Categorical Imperative for his moral foundations. He also writes that ASU should be seen as a continuation in the lineage of Locke's Second Treatise.