In a large bowl, combine the Brussels sprouts, butter, salt and pepper; toss to coat. Transfer to a greased 13-in. x 9-in. baking dish. Bake, uncovered, at 425° for 25-30 minutes or until Brussels sprouts are tender, stirring occasionally.
Meanwhile, in a large skillet, saute onion in butter until tender. Stir in flour until blended; gradually add milk and cream. Bring to a boil; cook and stir for 2 minutes or until thickened. Stir in pepper and nutmeg; pour over Brussels sprouts. Sprinkle with cheeses.
Reduce heat to 350°. Bake, uncovered, for 10-15 minutes or until heated through and cheeses are melted.