Lladro and Nao are both made by the same company. A piece by LLadro and Nao might be similar in appearance, but, if you look closer, you start to notice differences.
Both pieces are made from porcelain, however, Lladro uses a better quality, more refined, porcelain resin to cast each piece. After the pieces are cast, the Lladro figurines are sanded by hand longer and held to a much higher standard for smoothness than the Nao.
After the pieces are assembled they are painted by hand and finished. The Lladro pieces are hand finished by the best, most experienced, master craftsman at the factory. The Nao pieces are done by their apprentices.
All in all, more time and care is spent on the Lladro piece. This makes them better crafted, more beautiful, and more valuable as a collectible.
Lastly, you will find a difference in marketing strategy. Lladro figurines will be only found in exclusive high end stores. Nao is usually marketed to the masses and can be found just about anywhere.