Some were made from paper, others of clay and wood. We had a stable, manger, Maria, Joseph, child Jesus, shepherds, donkey, sheep, wise men, the star - the whole crew.
The advantage of BUYING a toy nativity set is of course that it will look just great. However, will it still be suitable for polite company after the kids have played with it?
The in between option is something like the Melisa and Doug nativity set. It's child friendly - more child friendly than some of our home made pieces in fact - and yet it looks great.
The Playmobil Nativity sets (yes, there are more) are obviously primarily meant for play: let your kids play out the Christmas story and enjoy themselves. The toy pieces can be reused in other playmobil play during the rest of the year.
Personally I really like the cute Fisher Price Little People Toy Nativity set. These three dimensional pieces are cute and of course will withstand any toddler trying to eat them.