What is the best bedding for the nursery?

Nothing. It is best to have just a crib sheet in your infant's bed. If you are worried about temperature, dress them in a sleeper of the appropriate weight. Pillows and bumper pads have been shown to lead to suffocation. Blankets and stuffed toys may have similar potential dangers.
Keep it bare. The best bedding for your baby's crib is essentially no bedding. Your baby should sleep on a firm mattress with a fitted crib sheet. No extra blankets, pillows, or stuffed animals should accompany your baby in his crib as these are all risk factors for sids. Keep your baby snug and warm by either putting him to bed in a secure swaddle or with a sleep sack.