Some windowmanagers allow you to swap from one wm to other. Ratpoison for example has tmpwm and newwm that allow you to use temporally another windowmanager, or shutdown ratpoison and start another wm.
Xnest is a software that allows to start X sessions inside other X sessions, so you could start one inside another.
IMHO Combining IceWM and xfce doesn't make much sense as they are pretty similar. I Only used Xnest when I modified the code of a windowmanager (guess which?
). It allowed me to test changes without having to log off and on every time.
I used tmpwm only when I had to use some rude apps that spawn lots of windows (gimp,cgoban...).