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Yes, I usually prefer a more unexpected but still legitimate nickname. Especially ones that would give people a lesson in nickname etymology. :) Like I'd use Mae and Mamie on Margaret when she's little, and I'd use Nan and Nanw for Anne, Nell for Elizabeth, and Jem for James. And out of names I like but wouldn't specifically use:
Bernadette "Etta"
Fionnuala "Fia"
Eugenia, Genevieve, Imogen, Virginia "Ginny" (maybe a few aren't so odd though)
Georgina "Nina"
Katherine "Kitty"
Edwin "Wynn"
George "Geordie"
Gregory "Rory"
Llewellyn "Lyn" (I think most would expect Llew)
Oliver "Noll"

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Out of your list, I love Margot and Greta as nns for Margaret but my DH doesn't. I think Sephie and Posy are cute. Nell is my favorite nn for Penelope too, and Pen is fine but I'd use it sparingly and do like Penny. I don't like the sound of Nesta at all. I love Aggie for Agnes, but I know that's predictable.