I don't want to throw cold water on the idea here, but...
Just for reference, it's illegal to collect the nests of any bird covered by the Migratory Bird Treaty Act (just as it's illegal to catch the birds themselves). While in theory there's no harm from removing and keeping an abandoned nest, the problem is that if people can collect nests, it creates a market for them - which tempts the unscrupulous into taking any nest they see in order to sell them.
The prohibition doesn't mean you can't remove an inactive nest, provided you don't keep it. Obviously, it's a whole 'nother story if the nest is still active.
For more information, see
http://www.fws.gov/permits/mbpermits/PoliciesHandbooks/MBPM-2.nest.PDF.
Kevin Morgan
Baton Rouge, LA
(No, I don't think the feds will come knocking on your door if you did keep the nest. However, it's technically not legal to do so.)