Does anyone have tips on setting up collection entries in a nested taxonomy structure?

4 years later an I've come across the same scenario. I'd like to keep the entries in the same collection and then display them in a good ol' fashioned nested category structure on a page.

For example:

Parent Term 1
 - Child Term 1
    - Entry 1
    - Entry 2
 - Child Term 2
    - Entry 3

Parent Term 2
- Entry 4
- Entry 5

I'm thinking two taxonomies, maybe with one relating to the other.

Anyhow, nested taxonomies was something that I always had trouble figuring out in Statamic. If anyone has a method, I'd appreciate any tips.