Nuts are a great thing to have on hand in the kitchen at any time of year. Although they can go rancid if left unrefrigerated (you'll be able to tell by the smell if they're bad), if kept in the freezer, they can last for months. Pecans, walnuts, hazelnuts, almonds and macadamia nuts are all good choices for baking, and depending on your preference, they can be used pretty interchangeably in any recipe that calls for nuts. Some nuts (especially hazelnuts) will add bitterness to a recipe if left unskinned, so make sure to buy the peeled variety if you're taking a strictly sweet approach.
To really bring out the flavor in nuts, you can bake them in the oven at 350 degrees Fahrenheit (176 degrees Celsius) on a baking sheet for about 10 minutes, or until they turn brown and start to smell delicious. Nuts that have been chopped and ones that contain a higher fat content (such as macadamia nuts) brown pretty quickly; you may find it easier to toast these over the stove in a heavy skillet on medium heat. Stir them with a spatula until they turn brown. Once toasted, nuts can be cooled and stored in the freezer.
As a rule of thumb, nuts used in baking recipes should be unsalted, but if you can only find the salted variety, place them in a colander in the sink, rinse them, toss vigorously and repeat.