I find this discussion interesting, as I thought everyone already knew you could do this!
Theoretically, so long as the system has the resources to support the connection (ram, network, etc.) you can have an unlimited number of SSH sessions connected. Jumping from one system to another is quite common. Looping, not so much, but still happens, and again, no real limitations.
I distinctly remember a time I was maintaining a network of switches for a foundry, all separated by miles of fiber optics. In this particular setup, there were 5 switches and I needed to talk to the one at the point furthest from me, but I couldn't be bothered to go all the way over there. Because of the particular VLAN setup on the switches, I couldn't directly connect from where I was to that furthest one, so I simply started hopping from switch to switch through SSH and Telnet connections until I got there. (In reality, the switches VLAN settings should have been configured to allow direct connection by a management VLAN, but at the time, no luck)
As for useful things to do, [tamarok] pointed out a good one. Put the embedded device as an edge device on a non-standard SSH port on your network and use that as a bridge into the rest of your network.