Before arriving in Nairobi I attempted to research about sim cards for my phone, and I found little information. So now I want to share what I have learnt. I was able to get a micro and nano sim card for 100 ks (each) in a Safaricom shop. I visited the one in Village Market, Westlands. There are many shops like this in different shopping centers. At first the sales person tried to sell me a standard sim card which he tried to cut to size (which was unsuccessful for the iPhone 5), but eventually he got me a proper micro sim card which he should have gotten at the start. So make sure you ask instead of just waiting like I did. Be warned, you must register your sim card now, I had to use my passport, this is quick and painless as the sales person will just input your details in the shop, but don't come without the passport.
Safaricom seemed to be the best operator to go with, and I have been happy with their coverage and mobile data speeds. They had a good range of data options, I opted for the 3GB valid for 30 days for 1000ks.
Hope this helps someone.