My first egg also vanished. Apparently sparrows tend to simply smash eggs, but in my case, it was a wren that got them. The consensus is that the wren ejected the first egg and another bird or predator ate it or carried it off. The remaining two I found on the ground a week later, punctured (definitely a wren). So either a wren got the eggs and your sparrows moved in, or the sparrows carried the eggs off. Probably the former.

As far as the nests go, here's a link that talks about different nests: http://www.sialis.org/competition.htm

In a nutshell, a bluebird nest will be of fine grasses/pine needles, a chickadee is mossy, a tree swallow will have a lining of feathers, a wren is thick sticks up to the top, and a HOSP is also very high grasses/twigs (not as thick) but trashy. Sometimes nuthatches and titmice also nest in bluebird boxes.

I have been watching my blue bird nest for several days with one egg being layed each day. Yesterday there were three pretty blue eggs. Today I checked after seeing no activity and the eggs have vanished. No signs of trauma, no eggs on the ground. What birds would carry them off??
I have plenty of house finches but no sparrows that I know of. Really puzzled here..

Wrens have been known to carry them off. However, it's more likely that the wren punctured them, dropped them on the ground, and a jay (or some other bird) picked them up. You say you have no sparrows but in the first post you said a pair of sparrows was occupying the box?

As to no activity - bluebirds often abandon a box after a failed nesting. You should remove the nest carefully (with a spatula or paint knife), gently tap it to check for blowflies, and if there are none, put it in a paper bag. In the future you may need to replace a bluebird nest and it's good to have one on hand.

Lady Jemima, Janfarley is not the OP. Christy :)

Oh, my mistake! Definitely wrens if you don't have sparrows around!

Thanks for the info. I may have to check into a wren guard since I have many of them around.