My problem with nested terminal emulators is that they reimplement the scroll buffer (by necessity). This in turn breaks the native buffer scrolling keyboard shortcuts of the outermost terminal. For some servers, this is worth the pain; for others, it's not.
So use a better terminal emulator. Rxvt-unicode allows you to pass mouse drags and scrolls directly to the terminal by holding down shift, and since it supports perl extensions, there are many ways to scroll back and yank from the terminal's buffer.
Tmux is great even if you're not using it as a process manager; it dramatically increased my productivity at the terminal (which is most of my day)
No, you'll want to actually use rxvt-unicode [1] on X11 on your Mac. The X implementation is annoying at times on OS X, but using a great terminal is worth it if you spend all your time in one. iTerm2 is nice, and Lion's new Terminal.app isn't bad, but programs like vim and tmux are designed with real xterm-compatible terminals in mind [2].
I'd love to, but I'm not a big fan of having to run X. Rxvt native Win32 build (as shipped with Cygwin) is my standard emulator, nice and light; and the way it integrates with the Windows clipboard makes it work even better than on X (i.e. the selection buffer - I hate that) for my usage style.
