TODO manager with hierarchical TODOs? I use KDE4 on my Linux machines, one of the tools I use a lot is KOrganizer. I love its TODO list which supports hierarchical (nested) tasks.

Could someone recommend a similar application for Mac? If it could synchronize with CalDAV server, that would be great. So far I failed to find any such tool.
This might be more than what you're looking for, but OmniFocus is the best solution that I'm aware of that meets your stated requirements.

It does do nested tasks.  If you're a fan of Getting Things Done, OmniFocus will feel pretty familiar to the workflow described therein.  If you're not into GTD, OF still works, although the terminology might not feel quite so obvious.

It supports WebDAV, not CalDAV.  If you're running your own CalDAV server, you might be fine here.  If sync (not necessarily CalDAV sync) is your real goal, the Omni Group has an Omni Sync Server that's available to all of its customers, and it works well.

There are also OmniFocus apps for iPhone and iPad, which have generally good reviews.