Best Header for Arduino Nano
The Nano boards that I have used all have pins on 0.1" (2.54mm) spacing.  There are single-row female connectors that are designed to accept 0.025" square pins.  One example is Samtec 32 position female header but there are many others.

Note that these female headers are available to accept either 0.018" round or 0.025" square pins.  My great preference is for the 0.018" round pins but those are less common in hobby circles.  

The really huge advantage of the smaller round pins is that you can safely insert them into solderless breadboards without damaging the contacts in the breadboard.  But you would want to standardize on one style or the other.