Max Stirner's egoist from his major work, The Ego and It's Own, found a home in a community he called the 'union of egoists.' Far from the simple solipsism that Stirner is often accused of, this union provides the egoist with a group of like-minded people for an indefinite time for one specific purpose or a set of purposes. It is based, not on a constitution or contract, but on voluntary, mutual self-interest. Each member is encouraged to serve himself in the interest of the group, with the self interest of each member maximized through combined effort.
Ontologically, a union of egoists can be any number of spontaneously formed groups. They don't even necassarily have to be aware of it, but if they are, all the better.
Nietzsche's 'free spirits,' on the other hand, go a bit further than the self enjoyment of a group. Where Stirner's egoist is largely a dialectical tool to free being from idea, Nietzsche admits at the beginning of Human, All Too Human, that the type 'free spirit' was his invention:
'Such “free spirits” do not really exist and never did exist. But I stood in need of them, as I have pointed out, in order that some good might be mixed with my evils (illness, loneliness, strangeness, acedia, incapacity): to serve as gay spirits and comrades, with whom one may talk and laugh when one is disposed to talk and laugh, and whom one may send to the devil when they grow wearisome… [And] I see them already coming, slowly, slowly.'
The type 'free spirit' is defined in this way:
'A soul in which the type of “free spirit” can attain maturity and completeness had its decisive and deciding event in the form of a great emancipation or unbinding, and that prior to that event it seemed only the more firmly and forever chained to its place and pillar… The great liberation comes suddenly to such prisoners, like an earthquake: the young soul is all at once shaken, torn apart, cast forth — it comprehends not itself what is taking place. An involuntary onward impulse rules them with the mastery of command; a will, a wish are developed to go forward… a mutinous, willful, volcanic-like longing for a far away journey…'
'A man of such destiny … basks in a special fine sun of his own, with a feeling of birdlike freedom, birdlike visual power, birdlike irrepressibleness, a something extraneous (Drittes) in which curiosity and delicate disdain have united. A “free spirit” — this refreshing term is grateful in any mood, it almost sets one aglow. One lives — no longer in the bonds of love and hate, without a yes or no, here or there indifferently, best pleased to evade, to avoid, to beat about, neither advancing nor retreating…'
Numerous passages indicate the sequence: hardship, suffering, trauma and uncertainty followed by a sudden breakthrough. Nietzsche's use of Dionysus and Apollo are frequent from the beginning to the end of his work. As a rigorous philologist in love with the ancient Hellenic world, he was an expert on the mystery cults, with working knowledge of their function and purpose. Though many of the actual practices of these cults were kept secret, we have enough information to indicate that they were initiatic orders, in which a certain state of being was achieved through a series of trials. Many of these cults had a strong relationship with Neoplatonism, which has a lot in common with Buddhism, the Vedas, Taoism and many other ancient systems. The controlled trials contemporaneous to these practices were supposed to bring about a sort of enlightened state; a revelation and ultimate abandonment of one's conditioning.
Nietzsche, having a profound interest in tragedy and suffering, and having suffered a great deal in his own life (certainly from illness but certainly emotionally too) might have been attracted to the idea that his own personal trials could bring about some kind of transformation. But, to take it further, he felt that immense, global hardship would naturally bring about more rare specimens of men and that all of this said hardship was worth it.
One can pair this prophecy with his Dionysian, Appolonian dichotomy. Regardless of whether or not this dichotomy is truly representative of their respective cults in the ancient world, in Nietzsche's configuration Apollo represents the ability to command while Dionysus represents the ability to obey. In the Appollonian ability to command, one must think, not simply of commanding others, but of commanding oneself. Likewise, the Dionysian impulse is the ability to submit to oneself. For either of these to be fruitful, one must be able to cultivate both properly. This dichotomy ultimately represents what in Nietzsche's philosophy is superior to Max Stiner's, to whom he is often compared. It is largely a question of agency. One is only free to obey one's whims and inclinations when one has forged in oneself the strength to command and steer one's passions. If this duality is not cultivated, one simply follows the chaos of one's passions, which are being obeyed by the subject at a lower, vulgar, uncultivated level. Without the Appollonian ability to command this imminent domain, one is in danger of self-destruction. Stirner's supreme Ego appears, for all intents and purposes, to be the Dionysian aspect of this dyad without the Appollonian aspect to balance it.
A Nietzschean Union of Free Spirits, if we were to imagine such a thing, would probably have more in common with mystery traditions of old, with people sharpening one another and passing down means to increase agency in their lives so that they might enjoy the ability to control and express their passions to the greatest completion possible.