I'm going to jump in with my opinion.

The changes in order of bang for the buck

1) Saddle

2) Pins

3) Nut

If you change two or all three at once, you will never know which one made the real difference. I hear people that changed the saddle and nut say what a big difference it made, but I believe it is the saddle that made 98% of the difference. The bone nut does add some aesthetics to it, but if it's white or off white you can't really tell the difference between it and a plastic nut. However, most bone nuts will hold up better to wear versus a plastic nut.

Bone pins help the strings resonate and can offer aesthetics with some nice inlay.

This is IMHO, but I am just plain right in what I say.

Oh, and here is a guy that makes some very good product.

http://www.guitarsaddles.com/