Note 36 (page 88): Later in this chapter there is a practical example in which nested classes come in handy, namely implementing a custom iterator for a for..in loop.
Too bad the VCL introduces specific global classes for the iterators, rather than using private nested classes, as it is possible to do. I actually mentioned this already in another blog post, last month. This blog post is part of my "113 Delphi 2007 Handbook Notes" blogging project, to promote my new Delphi book.