There are some great answers in this thread, however, if you use innoDB as your MySQL storage engine and are using MySQL 5.0.3 or higher, you get nested transactions right out of the box without the need for any extra work on your part or any of the fancy techniques described by others in this thread.
From the MySQL docs on XA Transactions:
MySQL 5.0.3 and up provides server-side support for XA transactions. Currently, this support is available for the InnoDB storage engine. The MySQL XA implementation is based on the X/Open CAE document Distributed Transaction Processing: The XA Specification. This document is published by The Open Group and available at http://www.opengroup.org/public/pubs/catalog/c193.htm. Limitations of the current XA implementation are described in Section E.5, “Restrictions on XA Transactions”.
My XA Transaction Example Just For You:
# Start a new XA transaction
XA START;
# update my bank account balance, they will never know!
UPDATE `bank_accounts` SET `balance` = 100000 WHERE `id` = 'mine';
# $100,000.00 is a bit low, I'm going to consider adding more, but I'm not sure so
# I will start a NESTED transaction and debate it...
XA START;
# max int money! woo hoo!
UPDATE `bank_accounts` SET `balance` = 2147483647 WHERE `id` = 'mine';
# maybe thats too conspicuous, better roll back
XA ROLLBACK;
# The $100,000 UPDATE still applies here, but the max int money does not, going for it!
XA COMMIT;
# Oh No! Sirens! It's the popo's!!! run!!
# What the hell are they using ints for money columns anyway! Ahhhh!
MySQL Documentation For XA Transactions:
I <3 XA Transactions 4 Eva!