Straight from the W3C for HTML4:
12.2.2 Nested links are illegal
Links and anchors defined by the A element must not be nested; an A element must not contain any other A elements.
Since the DTD defines the LINK element to be empty, LINK elements may not be nested either.
HTML 5
And for HTML5 it is a little different.
You cannot have Interactive Content inside an A element. Interactive Content includes anchor tags.