I may as well stop being coy with the spoiler tags. Obviously nobody really cares about being spoiled on this show.
So here's what you missed:
The Haitian clues in Peter to go visit a certain storage locker and says "don't tell Nathan." Of course Peter immediately trots off to tell Nathan (duh, Haitian, you couldn't predict that?) Together they visit the storage locker and find...ta dah! Nathan's body.
Peter's reaction: Meh, who cares. Nathan's reaction: Uh, I hope this isn't what I think it is. My reaction: Angela dumped the body of her first born son off at Rent-a-Shed??? Geeze, lady!
The dren hits the fan at Thanksgiving Dinner, when Angela finally blurts out the truth: Nathan is dead and the guy Peter thinks is Nathan is actually brainwashed Sylar.
Peter's reaction: Meh, who cares. This guy sitting next to me looks just like Nathan and that's the same thing, right? Pass the cranberry sauce.
Nathan's reaction: I'm so upset by this shocking development that I will change back into Sylar now so I can kill both of you, but not before scarfing down all the punkin pie.
But the Nathan persona re-asserts itself before Sylar can chop off Angela's skull and he flies away. Determined to rescue his "brother," Peter goes back to the hospital and loads up on various medical supplies that somehow are supposed to help return Sylar to Nathan-hood permanently. Not sure how that was supposed to work. Maybe Peter just likes stealing stuff from work.
Then he charges off...well I'm not sure where he thought he was going, since he didn't have the first clue where Nathan-Sylar had gone. Helpfully, Nathan-Sylar decides to visit the hospital (now returned to the Sylar persona), they fight, and that's where we come in with the nail gun...
Oh I forgot to mention that Thanksgiving Dinner included some discussion of souls and metaphysics that suggest the writers want us to actually believe that Nathan is not just brainwashed Sylar but that Matt somehow grabbed Nathan's soul (after he died, maybe it was hanging around?) and inserted it in Sylar's body. Wow, Matt!!! And he didn't even realize what he was doing! Matt's been promoted from mutant to semi-diety.
And I also forgot to mention...they introduced a character who can split into multiple selves...hmm, now what could that power be used to accomplish?