A few ideas:
Details of all the activities you'd like her to take your kids to, with times, directions of how to get there, details of how you pay.
Suggestions for outings (e.g. directions to local park / soft play / zoo etc). maybe with leaflets.
Directions to A&E. (god forbid, but you'd rather she got them there than got lost, waited for you to get home).
Something welcoming - chocs, flowers in her room.
Welcome card made by your DD.
Details of anyone you wouldn't mind her calling on in an emergency (friendly enighbough). Complete list of phone nos (you at work / mob / secretary, ditto for DH even if the other side of the country, ditto for any relations in the country).
Details of people you kids know and your nanny might meet - e.g. grandparents, friendly neighboughs, mummy-friends with kids (maybe with photos).
Instructions for washing etc
House rules
your requirements and desires of how she does her job
your way of working expenses, what you'll pay for her, how to organise her meals etc
Map of local area / A-Z etc.
Even if you have a couple of weeks hand-over / introduction she'll have only done some of this stuff once.
Info on your kids: favourite book / toy / activity. what cheers them up when unhappy. routine, food requirements etc. likes / dislikes. Handy tricks for getting them to brush their teeth.
What your answer to them is when they say "where's daddy?" or "when will mummy come home?" or "can I watch max and ruby again, my last nanny let me". (e.g. my DH travels a lot. When DS1 asks where's daddy I say "gone to work on a plane / train, back after tea tomorrow (or whatever). Other people sometimes answer him "america / germany", which doesn't make sense to him (he's 2.5).
HTH