Frustration in magnetic interactions can give rise to disordered ground states with subtle and beautiful properties. The spin ices Ho2Ti2O7 and Dy2Ti2O7 exemplify this phenomenon, displaying a classical spin liquid state, with fractionalized magnetic--monopole excitations. Recently there has been great interest in closely-related quantum spin ice materials, following the realization that anisotropic exchange interactions could convert spin ice into a massively-entangled, quantum, spin liquid, where magnetic monopoles become the charges of an emergent quantum electrodynamics. Here we show that even the simplest model of a quantum spin ice, the XXZ model on the pyrochlore lattice, can realise a still-richer scenario. Using a combination of classical Monte Carlo simulation, semi--classical molecular--dynamics simulation, and analytic field theory, we explore the properties of this model for frustrated transverse exchange. We find not one, but three, competing forms of spin liquid, as well as a phase with hidden, spin-nematic, order. We explore the experimental signatures of each of these different states, making explicit predictions for inelastic neutron scattering. These results show an intriguing similarity to experiments on a range of pyrochlore oxides.