[H|T] is syntactic sugar for the real representation using the . functor: .(H,T) where H is the "head" (one list element), and T is the "tail" (which is itself a list in a standard list structure). So [1|[2|[3|[4|[]]]]] is .(1,.(2,.(3,.(4,[])))). Prolog also allows a non-list value for T, so [[[[[]|1]|2]|3]|4] is .(.(.(.([],1),2),3),4). The second structure doesn't really simplify any further than that from a list notational standpoint.
If you want to think in terms of "list" then [[[[[]|1]|2]|3]|4] is a list whose head is [[[[]|1]|2]|3] and tail is 4. And since 4 is not a list, the original list can be described as "improper" as @z5h indicated since the tail isn't a list (not even the empty list). Drilling down, the head [[[[]|1]|2]|3] is itself a list with head [[[]|1]|2] and tail 3. Another "improper" list. And so on. Therefore, the overall structure is an embedded list of lists, four levels deep, in which each list has a single head and a non-list tail (an "improper" list).
It's interesting to note that some of Prolog's predicates handle this type of list. For example:
append([], 1, L).
Will yield:
L = [[]|1]
You can then build your oddly formed list using append:
append([[]], 1, L1), % append 1 as the tail to [[]] giving L1
append([L1], 2, L2), % append 2 as the tail to [L1] giving L2
append([L2], 3, L3), % append 3 as the tail to [L2] giving L3
append([L3], 4, L4). % append 4 as the tail to [L3] giving L4
Which yields:
L4 = [[[[[]|1]|2]|3]|4]
Each append takes a list of one element (which is itself a list from the prior append, starting with [[]]) and appends a non-list tail to it.