Xephyr is usually a better option than Xnest. Xnest forwards commands to the parent X server and sometimes (fairly often) ends up with a buggy translation. Xephyr is an X server that runs on top of an X server, so gives a 100% compatible interface to the programs that connect. Both are maintained as part of X.org.
Xephyr is not included in the base system install (with X11 enabled). Xnest is included, so on architectures where compiling packages is slow or binary packages are not available, this is the fastest way to a GUI (except for on screen, but maybe you’re emulating or have no screen). I do agree that there are better options than Xnest. In my OpenVMS articles I’ve used Xephyr in the examples, and often I reach for VNC.
I use Xephyr on localhost or on a reliable LAN sometimes, but for general use, it is quite fragile, because when your connection breaks, whole remote desktop diappears and all remote applications terminates. I love network transparency of X11, but without something like „screen for GUI“ its use is very limited. Thankfully we have tools like Xpra, VNC or SPICE.