Here is a solution using positioning, fit, and backgrounds libraries.

The preamble:
\documentclass{standalone}
\usepackage{amsmath}
\usepackage{amssymb}
\usepackage{tikz}
\usetikzlibrary{positioning,fit,backgrounds}
The \drawnestedsets macro:
\newcommand\drawnestedsets[4]{
% initial position
\def\position{#1}
% number of sets
\def\nbsets{#2}
% list of sets
\def\listofnestedsets{#3}
% reversed list of colors
\def\reversedlistofcolors{#4}
% position and draw labels of sets
\coordinate (circle-0) at (#1);
\coordinate (set-0) at (#1);
\foreach \set [count=\c] in \listofnestedsets {
\pgfmathtruncatemacro{\cminusone}{\c - 1}
% label of current set (below previous nested set)
\node[below=3pt of circle-\cminusone,inner sep=0]
(set-\c) {$\mathbb{\set}$};
% current set (fit current label and previous set)
\node[circle,inner sep=0,fit=(circle-\cminusone)(set-\c)]
(circle-\c) {};
}
% draw and fill sets in reverse order
\begin{scope}[on background layer]
\foreach \col[count=\c] in \reversedlistofcolors {
\pgfmathtruncatemacro{\invc}{\nbsets-\c}
\pgfmathtruncatemacro{\invcplusone}{\invc+1}
\node[circle,draw,fill=\col,inner sep=0,
fit=(circle-\invc)(set-\invcplusone)] {};
}
\end{scope}
}
The document:
\begin{document}
\begin{tikzpicture}
\drawnestedsets{0,0}{4}{N,Z,R,C}{lime,orange,yellow,cyan}
\begin{scope}[font=\tiny]
\drawnestedsets{2,0}{3}{N,Z,R}{orange,yellow,cyan}
\end{scope}
\end{tikzpicture}
\end{document}
Edit: Here is an horizontal variant with ellipses:

And the code (note: the \drawnestedsets macro is a modified version):
\documentclass{standalone}
\usepackage{amsmath}
\usepackage{amssymb}
\usepackage{tikz}
\usetikzlibrary{positioning,fit,backgrounds,shapes.geometric}
\newcommand\drawnestedsets[4]{
% initial position
\def\position{#1}
% number of sets
\def\nbsets{#2}
% list of sets
\def\listofnestedsets{#3}
% reversed list of colors
\def\reversedlistofcolors{#4}
% position and draw labels of sets
\coordinate (circle-0) at (#1);
\coordinate (set-0) at (#1);
\foreach \set [count=\c] in \listofnestedsets {
\pgfmathtruncatemacro{\cminusone}{\c - 1}
% label of current set (below previous nested set)
\node[right=3pt of circle-\cminusone,inner sep=0]
(set-\c) {$\mathbb{\set}$};
% current set (fit current label and previous set)
\node[ellipse,inner sep=0,fit=(circle-\cminusone)(set-\c)]
(circle-\c) {};
}
% draw and fill sets in reverse order
\begin{scope}[on background layer]
\foreach \col[count=\c] in \reversedlistofcolors {
\pgfmathtruncatemacro{\invc}{\nbsets-\c}
\pgfmathtruncatemacro{\invcplusone}{\invc+1}
\node[ellipse,draw,fill=\col,inner sep=0,
fit=(circle-\invc)(set-\invcplusone)] {};
}
\end{scope}
}
\begin{document}
\begin{tikzpicture}
\drawnestedsets{0,0}{4}{N,Z,R,C}{lime,orange,yellow,cyan}
\begin{scope}[font=\tiny]
\drawnestedsets{0,-1}{3}{N,Z,R}{orange,yellow,cyan}
\end{scope}
\end{tikzpicture}
\end{document}
[label=-90:Z]etc options. Can you provide a minimal code and tell us where you get stuck? – percusse Aug 29 '12 at 21:32