One of the defining features of the nanny state has been to protect us from making bad decisions but is this really the case? We see endless PSA's about not doing drugs, wearing seatbelts, eating healthy but the same government that discourages these sorts of bad behavior encourages bad behavior that it likes. The state I live in, for example, has been trying for years to get legalized gambling for the purpose of funding the government. There are advertisements all over TV for the lottery.
The government wants to protect us sometimes when it suits their purpose. As a libertarian, or a conservative with a strong libertarian bent, I don't think the government should ban gambling. Legalizing gambling for the sole purpose of funding government is a separate issue though. I wonder if the people who are so worried about a kid eating a happy meal are as concerned about the health effects on the family when dad or mom blows their paycheck on the poker slots.
The recent and ongoing housing bubble collapse is another example. The federal reserve with strong support from the government kept interest rates low to encourage home ownership. People were encouraged to borrow too much spend too much. The effect of this bad behavior on people and society at large has been horrendous but you don't see the government encouraging responsibility in this area. At least you do not see it consistently like the constant incessant hammering of environmental issues, and health care issues.
So the government cares about your welfare when it suits their purpose as in when it increases their power but not so much when it comes to filling their coffers.