So imagine a parasite of a parasite. Imagine a parasite of that parasite. Then imagine a parasite of that parasite, then a parasite of that parasite, and so on and so forth.
Is there a formal term for this?
How frequent does this occur in nature? If it varies, what does it vary by? How many levels down do parasites typically go?
What is the deepest level that has ever been observed, and with what organism?
Hyperparasitism is one possible term. According to the linked article it is commonplace in certain types of insects, but also in fungi. Apparently the cases of at least three levels are known: a fungus on a fungus on a fungus on a tree.