Nested if's - what's more pythonic?

Both functions do the same thing.

def function1(self):
    a = self.get_a()
    b = self.get_b()
    c = self.get_c()
    r = None

    if a:
        r = a
        if b:
            r = b
            if c:
                r = c
            else:
                print("c not set.")
        else:
            print("b not set.")
    else:
        print("a not set.")

    return r



def function2(self):
    a = self.get_a()
    b = self.get_b()
    c = self.get_c()
    r = None

    if not a:
        print("a not set.")
        return r

    r = a
    if not b:
        print("b not set.")
        return r

    r = b
    if not c:
        print("c not set.")

    r = c
    return r

function1() creates very long lines the more if's are nested which conflicts with PEP8's line-length limit of 78.

function2() might be harder to read/understand and has more return statements. Line length is no problem here.

Which one is more pythonic?