Dear reader, don't laugh: I had thought I already understood subsequences, but then it turned out that I was mistaken. I should have noticed the vague, unverbalized discomfort I felt about the subscripted-subscript notation, (a_nk). But really it shouldn't be confusing at all: as Bernd S. W. Schröder points out in his Mathematical Analysis: A Concise Introduction, it's just a function composition. If it helps (it helped me), say that (a_n) is mere syntactic sugar for a(n): ℕ → ℝ, a function from the naturals to the reals. And (a_nk) is just the composition a(n(k)), with n(k): ℕ → ℕ being a strictly increasing function from the naturals to the naturals.