I don't think there is a hard and fast limit, but I think the framework
will eventually throw an error if you nest way too much. How many are
you looking at? I'd say you're safe in the ballpark of 10-20... but
that's just my gut saying that.

I'd suggest asking the question in a .NET 3.0 or Windows workflow  forum
such as http://www.windowsworkflow.net/ since it won't be a limitation
of SharePoint, more of the underlying workflow engine.