Damn, I was gonna mention Shakespeare in Love!
Or how about Tim Allen in Galaxy Quest? He pretends to be a drunken actor, who pretends to be a heroic space captain on TV, who pretends to actually be that hero to the Thermians, and later pretends to be the actor confessing to the ardent fan that he really is the hero?
If I remember correctly, in “House of Flying Daggers” pretty much everybody in the movie was disguised as somebody else but was actually somebody else completely different.
In Charade, Cary Grant plays agent Brian Cruikshank, who is pretending to be con artist Adam Canfield, who is impersonating Alexander Dyle, who poses as Peter Joshua. And he doesn’t even need to wear make-up to do it! Or as Audrey Hepburn puts it, “I hope we have a lot of boys and we can name them all after you!”
It’s been a while since I’ve seen M. Butterfly, but does the character Song Liling only count as two levels of character. I know he was a spy for the government, but did he ever have to pretend he wasn’t, while still under the guise of pretending to be a female?
In the Phantom of the Opera, didn’t say Michael Crawford play the Phantom pretending to be Piangi (?) playing Don Juan?
Fool of a To – wait, I already said that this thread, I think. Anyway, anything involving Alyson H. gets more than an honorable mention on account of her hottitude.
In college I watched my dorm’s Asian Student Union do a performance of Two Gentlemen of Verona, with too few females in the cast.
Chinese guy -> Italian woman -> Italian guy.
This is an aside, but I’ve been wondering. In Tropic Thunder, is Robert Downey playing a white actor plying a black soldier, or playing a black actor playing a black soldier?
RDJ is playing an Australian white actor playing a black American soldier. Who plays a Vietnamese peasant. Who is a lead farmer.
Robert Downey, Jr is playing a white actor playing a black soldier. His character, a white Australian actor named Kirk Lazarus, was cast to play a black soldier in a movie based on a book written by a Vietnam vet. Lazarus is one of those actors who totally immerses himself in his role, so throughout most of the movie he is “in character” as a black soldier, which leads to some interesting conflicts with one of the other actors, Alpo Chino, who is black.
In the Firesign Theater’s Nick Danger script, one of the members of the group played Audrey Farber, who Nick may have known as Susan Underhill, who was otherwise Betty Jo Bialiaski, who Nick knew as Nancy.
Not to Melanie Haber!
It wasn’t until years later that I realized that her name was McGill, she called herself Lil, but everyone knew her as Nancy.
Not quite on the same level as the OP, but there was an SNL where Jim Carrey did an impersonation of Jimmy Stewart doing an impersonation of Jim Carrey.
“I’m Jim Carrey! I need attention 24 hours a day!”
… looks it up Oooh, in context, it’s kind of clever, actually.
Somehow he went through a controversial skin-darkening procedure, which seemed to wear off toward the end of the movie. I was surprised when he took off his dark contacts and revealed the piercing blue ones–those were fake too but stayed in.
That reminded me of Phil Hartman doing Charlton Heston doing a cleaned up version of Madonna’s “Sex” for an audiobook: “I like my vagina.” 
Which also reminded me of the skit they did on SNL with Kevin Spacey playing Christopher Walken auditioning for Han Solo. It also had Norm MacDonald as Burt Reynolds auditioning for Darth Vader, and someone I forget doing Walter Matthau and Richard Dreyfus doing C-3PO and Obi-Wan.