As I was going through unanswereds, I came across this question. I then posted a solution here, but it was terribly wrong (thanks Arturo). To redeem myself, I am heavily editing my previous answer to answer the question. I hope to answer Jonas Meyer's questions about what the answer means as well - that's how I justify this redemption.
First, I believe that the confusing part of the question was the word 'nested.' I interpret a closed set $C_1$ to be nested in a set $C_0$ if C_1 \subseteq [\inf(C_0), \sup(C_0)], as suggested by Arturo. This is in response to the problem that if 'nested' implies any sort of containment, then there will be something in common between the nested set and the nesting set, unless the nested set is empty.
Now we can give a suggested answer. Suppose we let our 'C_1$' set to be the irrationals ($\mathbb{R} \backslash \mathbb Q$) in $[0,3]$. Then we might consider $C_2 = $ the set of rationals in $[1 - \frac{1}{2}, 2 + \frac{1}{2}]$. Then $C_2$ is nested within $C_1, and clearly their intersection is empty.
We could then continue: C_{2n}$ might be the set of rationals in $[1- \frac{1}{2n}, 2 + \frac{1}{2n}]$, and $C_{2n+1}$ might be the set of irrationals in $[1 - \frac{1}{2n+1}, 2 + \frac{1}{2n+1}]. Then we have as many pairs of nested sets that we want. This is the key set of ideas within Matt Gregory's answer. But there is a problem with this answer (with respect to the demands of the OP) - none of these sets are closed. Of course, the OP seemed to accept this answer without any sort of fail, so it would seem that this might satisfy his needs.
But instead, we might consider the endpoints of the intervals I mentioned above. Thus C_1$ would be the set $\{ 0, 3 \} $ and $C_2$ would be $\{\frac{1}{2}, \frac{5}{2}\}$, and so on. Then we still have that $C_2$ is nested within $C_1$. And for that matter we have that $C_k$ is nested within $C_j$ for all $k > j$. This is stronger than the above in a few ways.
Finally, in contradiction of Jonas T's final comment, there are infinite sets of nested intervals that do not end in a single point.