Old trick, I didn't check the rest of the scanners, but avast! and a-squared detect compressed file bombs without problems. What's more, avast! usually ignores compressed files if the decompressed size surpass a certain value.
Besides, apart from leaving the computer unusable (an offline DoS attack), there's really no much use to them for malware writers. Well, you will be pissed for a few seconds before reaching for the "Reset" button
Wasn't/isn't there an AV product that used to allow you to autoflag as suspicious any archive that nested more than nn-levels deep? I seem to remember there was one that did. Problem is I've dated so many that I can't remember names.
AntiVir lets you define the maximum level of recursion in a compressed file (20 as a default), but as far as I know, it just ignores those that go over the limit.