Such a program should have Recording ability to record keystrokes and mouse events

and..

AutoIt looks very good. .... AutoIt is just a plain old interpreted language...

Does it really record and play back mouse events as well?

I use a macro-capable keyboard for my macro stuff. The one I have now is sold by Fentek and does what I need. It will not allow nested macros, however, which you said you needed.

tanstaafl.