Nickel provides corrosion protection and a nicer-looking finish, but I don't believe it improves shifting in and of itself.
Cross stepping is a double rolled / struck riveting process that makes for a stronger chain than a basic rolled rivet derailleur chain.
Hollow-pin / cylindrical rivet chains are used to reduce the weight of the chain and rely more of the thickness of the side plates for overall strength than do solid rivets.
Even an inexpensive chain will work just fine for about as long as a high end chain if it's wiped down on a regular, post-ride basis, particularly after being exposed to moisture.
Last edited by TandemGeek; 05-03-08 at 09:31 PM.