I remember noticing, with one of my own projects, that if I did sort of like this (layer-wise):
(Additive, last) nebula bitmaps
(Multiplied/Darkened, second) nebula 'shadow' bitmaps
(Opaque, base) high-res starfield texture
the differences between stars showing through/not showing through look quite nice. But as for actually putting stars in the nebula itself, that really depends what kind of nebula it's supposed to be. There are emission nebulae (where the gas is glowing from its own heat), reflection nebulae (where the nebula reflects the light of stars within or near it), and the dark ones (I can't remember the name right now, but they absorb the light from behind them).