How can I create a new folder within a nested folder hierarchy using Finder?

One (very unrecommended) option would be to assign a shortcut to an AppleScript like this. There's an open bug in 10.7 that makes the script more or less unusable.

tell application "Finder"
    if insertion location as alias is desktop as alias or current view of Finder window 1 is in {icon view, column view} or selection is {} then
        tell application "System Events" to tell process "Finder"
            click menu item "New Folder" of menu 1 of menu bar item "File" of menu bar 1
        end tell
        return
    end if
    tell application "System Events" to key code 124 -- right arrow
    set p to item 1 of (get selection)
    try
        set f to make new folder at p
    on error
        set f to make new folder at container of p
    end try
    set selection to f
end tell
tell application "System Events" to keystroke return

Open the folder where you want to create a new folder with ⌘O and then create what you want.

⌘O is nice to get started.

⌘⇧N will create the new folder.

⌘[ will bring you back.

This is not optimal but at least you do not have to use the mouse.

I'm replacing my original incorrect post with this...

It took me ages to understand what was going on with this.

The trick to understanding what is going on here is to note the name of the folder in the title bar. In macOS, whenever you create a folder, that is the folder that the new folder will be created under.

That is why Thomas' post works, or in column mode as you click each folder the folder in the title bar changes and Command + Shift + N will create the folder correctly.