If you're ever stuck on a Markdown question, there's a help button on the right side of the toolbar:

![Screenshot of the toolbar](http://so.mrozekma.com/editor-bar-help-button.png)

That [help page](http://stackoverflow.com/editing-help) explains how to do the simple case:

> ### Advanced lists: Nesting
> To put other Markdown blocks in a list; just indent four spaces for each nesting level

For example (see the [markdown for this post](http://meta.stackoverflow.com/revisions/01c25c3a-3653-49f4-b6be-4323c50bff2d/view-source)):

1. Dog
    1. German Shepherd
    2. Belgian Shepherd
        1. Malinois
        2. Groenendael
        3. Tervuren
2. Cat
    1. Siberian
    2. Siamese

I think this is as close as you can get; Markdown doesn't support the "1.1.1" type list you wanted