Nested tickets is legitimate, and can save lots of $$$
Last summer I wanted to fly from TUS to EWR with only 7 days advance notice. The lowest TUS-EWR fare was more then $700 higher then the combined TUS-LAX and LAX-EWR fares on America West. (Guess who also flies TUS-LAX) I had the entire itinerary issued on one ticket, stayed on the same planes at LAX. I was told that I had to fly the PHX-LAX-PHX segments, I couldn't skip them and stand-by for the next flight for my ultimate destination. What the heck, for $700 and some extra segments and miles, and if that wasn't enough I got Gold elite upgrades for all except one of the TUS-PHX segments.