What is the maximum power consumption of the Arduino Nano 3.0?
Well, it depends on what you have attached to the Arduino. If you are using the pins to do things you will definitely require more current. 

If you ONLY want to power the Arduino, then I calculated what I think it should be below. (You should also check with someone who owns this device for an experimental value, and not just a calculated value. )

Based on the datasheet (fig 30-8, p 319), I would say the the processor will draw around 2.4 mA at 5 volts.
http://www.atmel.com/images/doc2545.pdf

The USB chip draws around 15 mA depending on several things (p 18)
http://www.ftdichip.com/Support/Documents/DataSheets/ICs/DS_FT232R.pdf

Then you have 2 LEDs with 680 ohm resistors. (Assuming 2 volt drop for each led)
(5-2)/680  = around 4 mA per led.

So depending on how much you use the serial port, and the LEDs I would guess around (2.4 + 15 + 4*4) = 33.4 mA

33.4 mA * 5V  = 0.167 Watts

I suspect you want to know to the total amount of power the Arduino can source, which is a bit harder to calculate.

The pins can provide up to 200 mA. (p 303 http://www.atmel.com/images/doc2545.pdf)
So 33.4 + 200 = 233.4

I would also add a 20% safety margin (around 50 mA)
So I would want a 280 mA supply, if I was going to attach the Arduino to different things.

280 mA * 5 = 1.4 Watts

Let me know if my numbers are way off.

P.S.: Be careful making your own supply. It is critical that the voltage be very stable. An unstable supply can/will destroy an Ardiuno. I suggest using a linear regulator, like the LM7805. or maybe the LM317