Dreams within dreams within dreams

Yesterday Aaron was mentioning dreams, and this got me to thinking, have you ever had a dream within a dream? What's creepy about this idea is that within the first dream you realize that the second dream is not real, and you feel with certainty that that first dream is reality. It's only when you wake up from the first dream that you realize that both dreams where fake. But that same certainty is what you felt when you were actually in the first dream! Why does our brain play tricks on us like this?

What I've never had, as far as I know, is a dream within a dream within a dream. Have you? It seems like at some point it would get so complicated, you might not know which dream you're really in. For example, you could start in dream one, then fall asleep and go to dream two, fall asleep again and go to dream three, wake up and go to dream two, and then wake up for "real," and not ever realize that you never passed through dream one again. Weird!