You sound like a wonderful SIL! I didn't get a lot of gifts as such but the things I bought myself that I treasure are a Willow figurine (angel of mine) and I also did the name in the sand and had it blown up and framed. I also bought a beautiful handmade ornament from etsy (?) - not sure if I am allowed to post the link so pm me if you would like it and I am happy to send it on. She does gorgeous figures of little angels and mums and dads with angels.
I love my teddy that I got from the hospital but you could get one with your nephews name personalised on it somewhere if they don't already have something like that?
Hope that helps