I've seen (and written) nested anonymous method calls in JavaScript a few times. This is the first time I write one in Delphi.

The example is not artificially convoluted, but makes sense. There is an HTTP call within a thread (started behind the scenes by the AjaxCall function), receiving as parameter the code used to process the result, which in turn calls an HTML parsing function (ExtractImages), using a second (nested) anonymous method for processing the image links. One of the links is processed by the AjaxCall, again, this time with the effect of showing the resulting data as an image, within the third nested anonymous method. Whew.

Now if you consider the syntax, with the various nested procedures in place, it certainly look very odd to any long.time Pascal developer.