Can you create nested WITH clauses for Common Table Expressions?

With does not work embedded, but it does work consecutive

;WITH A AS(
...
),
B AS(
...
)
SELECT *
FROM A
UNION ALL
SELECT *
FROM B

EDIT Fixed the syntax...

Also, have a look at the following example

SQLFiddle DEMO

While not strictly nested, you can use common table expressions to reuse previous queries in subsequent ones.

To do this, the form of the statement you are looking for would be

WITH x AS 
(
    SELECT * FROM MyTable
), 
y AS 
(
    SELECT * FROM x
)
SELECT * FROM y

You can do the following, which is referred to as a recursive query:

WITH y
AS
(
  SELECT x, y, z
  FROM MyTable
  WHERE [base_condition]

  UNION ALL

  SELECT x, y, z
  FROM MyTable M
  INNER JOIN y ON M.[some_other_condition] = y.[some_other_condition]
)
SELECT *
FROM y

You may not need this functionality. I've done the following just to organize my queries better:

WITH y 
AS
(
  SELECT * 
  FROM MyTable
  WHERE [base_condition]
),
x
AS
(
  SELECT * 
  FROM y
  WHERE [something_else]
)
SELECT * 
FROM x