Yes it is possible, I do it often.

With ThisForm.pgfAllPages
    With .pagOnePage
        .lblTest.Caption="Hello"
    EndWith
    With .pagAnotherPage
        .lblTest.Caption="Its me"
    EndWith
EndWith

If you return inside a With ... EndWith I've never found any problems - not saying there won't be, but I've never come across any.

>Hello.
>
>I'd like to ask two questions:
>1) Is it possible to nest With ... EndWith?
> With o1
> ...
> With o2
> ...
> EndWith
> ...
> EndWith
>
>2) Given:
> With o1
> ...
> Return
> EndWith
>
>Will the last With remain active even after Return is executed?
>
>TIA