While custom tags have fallen out of a favor a bit, I'm still a big fan of them. I thought I'd point out two good blog posts by Ben Nadel which show how to nest tags:

ColdFusion Basics: Nesting Custom Tags
Nesting ColdFusion Custom Tag Snippet

Later this week I'll post my example of a nested custom tag. It is a basic data grid style tag that lets me quickly dump queries into formatted tables.