(Update: added answer to the new question added in the edit below the answer to the original question.)
I've actually answered this very question in #clojure recently.
Here are two approaches: f is pretty much the spec directly transformed into code, which however creates a seq -- (next xs) -- which immediately gets poured into a new vector at each step; g is a much better version which only allocates objects which will actually occur in the output, plus a vector and the seq links to traverse it:
;; [1 2 3] -> [1 [2 [3]]]
;; naive, quadratic:
(defn f [xs]
  (if (next xs)
    [(first xs) (vec (f (next xs)))]
    (vec xs)))
;; only allocates output + 1 vector + a linear number of seq links,
;; linear overall:
(defn g [v]
  (reduce (fn [acc x]
            [x acc])
          [(peek v)]
          (rseq (pop v))))
NB. I'm overlooking the usual logarithmic factors arising from vector operations (so this is soft-O complexity).
As for producing a nested map, the above isn't particularly useful. Here's one approach:
(defn h
  ([v]
     (h nil v))
  ([m v]
     (assoc-in m v nil)))
(h [1 2 3 4])
;= {1 {2 {3 {4 nil}}}}
(def data
  '[[a b c d e]
    [a b c x y]
    [a b c d j k]])
(reduce h {} data)
;= {a {b {c {x {y nil}, d {j {k nil}, e nil}}}}}
I'm using nil as a "terminator", since {y} (as currently found in the answer text) is not a well-formed literal. true might be a more convenient choice if you plan to call these maps as functions to check for presence of keys.