I could write a tutorial on how to use Views' two most nefarious arguments, "Taxonomy: Term ID (with depth)" and "Taxonomy: Term ID depth modifier," but I won't. There are plenty of those. Instead, I'll just tell you how not to use them.
If you're like me, you'll get very excited when you see a URL that looks like
http://www.mywebsite.com/taxonomy/term1-name/term2-name. It will fool you into thinking that you can create a view which accepts infinite taxonomy term arguments, each separated with a pretty slash. Well you can't. At least, not exactly.