Official Python documentation has this feature documented here:
Making a note about using multiple `with`s
I'm iffy on this because it enters the "teach users Python" territory I want to avoid (it's not our job and opens a huge can of worms) but at the same time the preceding note about having to explicitly enable with in 2.5, is in the same general territory, so I only have half a leg to stand on :) I guess it can't hurt to add. Thanks!
Formatting tweaks re #651
Append to note re: contextlib.nested on Python 2.5. Re #651
Changelog re #651
Haha, yes :) At first I was going to make a pull request to add it to the fabric.context_managers.prefix(...) function, because it has nested with statements. But then I realized you were doing similar stuff in your note about 2.5, so I thought it would be better there.