When I first starting using Vegas, I was coming from FCP and Avid--both of which have nested sequences. I usually worked with FCP on primarily episodic and Magazine-format shows (where an episode is made up of various smaller segments). This is where multiple sequences really comes in handy.

Each project file would represent an episode
Each sequence/timeline within the project would represent a segment in the show that different editors could edit without messing up another's
Then, after each segment is edited, all you would really have to do is create one final timeline, and drag each sequence into it in whatever order you want!

For me, one of the key points of this type of workflow was the organization of it all. As each project file represented a specific episode, it was easier to go back to a specific episode and do whatever you wanted, etc.
You may point out that because all the sequences are within one project file, only one person can work on their sequence at a time. Obviously, everyone could work on their sequence on their own edit-bay, and then they were collated into one project in the end. Again, it was just an easier way of organization (especially important when doing multiple seasons of multiple series).

When I first started using Vegas, this seemed like the most glaring omission of all, and I voiced this in this very forum (though with more tact than Zippy IMHO). But like other users, I have found ways to work around it, and I regularly use Vegas as my editor of choice. Why? Because for the first time in a long time, editing was fun again! And after using Vegas for some time now, it still remains fun every time I open it up!

BTW, some say that Zippy is a just a shrill from another company looking to make trouble. While is entirely possible, I don't think it is the case. Personally, I think Zippy is a plant from Sony to do two things: 1) Determine the loyalty of it's newly aquired userbase, and 2) Get product support quotes from users for marketing (do you ever notice how many posters there are to his threads who take the time to post long-winded replies in support of Vegas?) While not entirely a bad plan, it sounds all too similar to a badly done James Bond parody.

(PS: Just kiddin' around Sony. Please don't ban me for finding you out!) :)