I was reading http://dnstunnel.de/ which made a lot of sense until the Technical Setup part. Mind you, I'm a programmer so I'm not easily confused by things, but I was not sure about this part.
What am I setting up here, and where?
To delegate all requests to sub.example.com to ns.anothernameserver.com, you first have to delegate all requests to that server (NS record, line 1) and then send a so-called GLUE record (that is, glued to the record before because it's most likely the asking server will need this info as well) with your server's IP (line 2, A record).
sub.example.com. IN NS ns.anothernameserver.com. ns.anothernameserver.com. IN A 126.96.36.199
If you just have a DynDNS account and no static IP, you'd set up the delegation using a CNAME record. As mentioned above, CNAME is a canonical name (speak: an alias). So when a server gets back a CNAME instead of an A record (IP address) he continues to look up this hostname. That brings us to the following:
sub.example.com. IN NS ns.extern.example.com. ns.extern.example.com. IN CNAME foo.bar.dyndns.org.