I made a nut brown that was very "nutty" in flavor... exactly what I was going for.
70% English Maris Otter
9% Caramel/Crystal Malt - 60L
8% Flaked Oats
6% Special Roast
5% Victory Malt
2% Chocolate Malt (US)
An ounce of fuggles hops as well... it was my take on this recipe:http://www.homebrewtalk.com/f67/nut-brown-ag-30187/
Again, it had a GREAT nutty flavor to it, loved it. Might even want to think about caramelizing some DME for a toffee flavor component as well.
However, as previously stated, the oils in the nuts will likely affect your head retention. Plus, like I've posted above, you can get the nutty characteristics you're looking for without the addition of actual nuts. But, home brewing is all about trying new things... knock yourself out if you want and see how it goes!