Having done both, I'd say a Nanny is preferable. My first went to nursery, but I got pregnant with twins when she was 18 months old!
Mine would rock up at 7.30 and take over the DC so I could just focus on getting me ready. She would do the DC laundry, cook home made meals and was extremely active with them, going to baby and toddler groups, lots of arts and crafts.
She would do little jobs like purge the wardrobes of clothes that were too small whilst they napped.
They'd be bathed and fed when I got in from work, I could just kick of my shoes and play with them, really enjoying quality time.
I had less time off with the twins, in terms of not being sent home for minor illnesses, unlike with my first who seemed to catch every bug under the sun!
When they started school we had Au pairs for a couple of years, to help with the wrap around care.
The down sides are you need someone reliable, as you are completely dependent on them, and you'll need to cover their annual leave etc
Yes cost is much much higher, but for 3 dc it was actually cheaper than 3 lots of nursery fees. You do have to factor in a kitty to cover activities, insurance etc And there are companies that calculate what tax and Insurence you need to pay, I used Nanny Pay.