as dfaure demo'd at akademy, it can be nice doing kde4 devel in a nested x session. it keeps it from interfering with your main desktop (very nice when kde4 decides to be flaky) and avoids having to switch between full sessions ...
i've used xnest for this in the past but have heard nice things about Xephyr (what's with all the capital X's? ;) and decided to try it out.
i used xhost to allow connections by my testing user to the local display, su'd to my kde4 user, fired up xephyr and it all worked very fast and very nice. bonus is that, as the docu for Xephyr notes, it supports modern x.org extensions, has good performance and even has some debug modes that can be useful.
always fun to try out new tools, particularly when they work flawlessly out of the box and deliver an immediate improvement =)