To add to what Gail is saying not only do they not really exist the appearance of nested transactions can seem to work when everything goes smoothly but will cause you nothing but grief when stuff doesn't go correctly. If a rollback is issued against as "inner" transaction, the "outer" transaction no longer exists and all your logic is going to break all over the place.

Nested transactions in sql server are like leprechauns and unicorns...they might be cool if they actually existed but they don't so stop looking for them. 😀