I am not sure what is the situation today; in 2005 when I wrote nested-sets implementation for TSQL and benchmarked it against Oracle's START-CONNECT extension it was a few milliseconds vs seconds for large hierarchies. Of course, nested sets need an occasional rebuild of the whole hierarchy so they are only useful for mostly static hierarchical data.
If you have only a couple of levels, you are probably fine with what your SQL server offers; for huge amount of hierarchical data you need to use something smarter.