In Lagos and other cities, thousands marched against the removal of the subsidy, which has doubled fuel costs.
Police fired on protesters in Kano in the north, reportedly killing two and wounding many. Another demonstrator died in a clash with police in Lagos.
President Goodluck Jonathan has said the subsidy was economically unsustainable.
"Our leaders are not concerned about Nigerians. They are concerned about themselves," protester Joseph Adekolu told the Associated Press news agency.
One demonstrator was killed and three wounded, witnesses and hospital sources said.
In Kano, Nigeria's second-largest city, at least 30 people were injured as police used tear gas and fired in the air to disperse protesters converging on the governor's office.
Two demonstrators later died, hospital sources said. A night-time curfew is in force in the city.
In the capital, Abuja, trade unions and civil society groups organised a march and protesters closed the airport.
Fuel and transport costs doubled after the subsidy ended on 1 January, angering many Nigerians, who saw it as the only benefit they received from the country's vast oil wealth.
Most of Nigeria's 160 million people live on less than $2 (£1.30) a day, so the sharp price increases have hit them hard.
Nigerian Information Minister Labaran Maku called on unions to end the strike, saying the government was ready for dialogue.
He told reporters the authorities were doing their best to reduce the hardship caused by removing the subsidy.
A similar strike in 2003 ended with a partial climbdown, when the Nigerian government agreed to reduce the subside, rather than scrapping it altogether.
Members of parliament have called on President Jonathan to reconsider, but he made a televised address on Saturday to defend the the subsidy cut.
"We must act in the public interest, no matter how tough, for the pains of today cannot be compared to the benefits of tomorrow," he said.
The deregulation of the petroleum sector was, he insisted, the best way to curb corruption and ensure the survival and growth of the economy.
"The truth is that we are all faced with two basic choices... either we deregulate and survive economically, or we continue with a subsidy regime that will continue to undermine our economy."
He said that top government officials would, from this year, take a 25% pay cut, and foreign trips would also be reduced.
The government says it will spend the $8bn (£5bn) it saves each year by scrapping the subsidy on improving health, education and the country's erratic electricity supply.
However, many Nigerians fear it is more likely to end up in the pockets of corrupt officials.
The unrest comes at the same time as a surge in sectarian violence. The Islamist militant group Boko Haram has carried out a string of deadly attacks in recent weeks, mainly against Christian targets in the north-east.
On Monday a crowd attacked a mosque in Benin city in the south. More than 40 people were injured, the Red Cross says
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