Well first of all, be careful that you don't have users that are members of too many groups - this can cause their token to be too large and you end up with things like this:
And also GPOs will stop being processed, startup scripts, etc.
This isn't directly answering your question, but a bunch of nested groups can definitely exacerbate this problem. There's nothing inherently terrible about groups being members of one another. i.e. the space-time continuum will not tear open... the only things I can think of is that you might confuse some applications that make extensive use of LDAP queries... things like Exchange, etc.