Walcott is nearly 22, while Nani turned 24 some time ago.
So obviously you have to take the ages into consideration when making these comparisons. You've also got to take the fact that Walcott is always playing infront of the dependable Sagna, while Nani has to play infront of the inexperienced Rafael or the ageing Neville into account.
For me, Nani is having the better season, he's been pretty consistent since the game at the Emirates (I think?) where Rooney scored that great counter attacking goal which Nani created. Nani has the ability to change direction quickly, quicker feet, he's got a better sense of balance, he's more intelligent and he's more productive.
If you had to compare Walcott to someone from the ManUtd team, it would be Valencia, a decent winger, but if you can match the pace he's got he's pretty much useless. He isn't particularly creative, he can't change direction quickly a la Messi, for an agile guy Walcott has the turning speed of the QE2, I've never seen him change direction quickly like Messi or other top wingers do.
I'd have to agree with Alan Hansen, that Walcott doesn't have the footballing brain to be a truly great player, he'll still be a good asset for Arsenal, though.