I know you can use macros to launch palettes, but I really like the functionality of the menu bar implementation for the Macro Group "Display in menu bar" feature.
It's much cleaner and they appear more predictably than palettes as far as location or which display is concerned.
My suggestion merely expands upon the macro group menu bar slightly and creates a new "Macro Group Menu Bar Sub-Menu Action" which would allow you to essentially populate however many "Execute a macro" type actions and each of those would appear as a sub menu.
You could then make any of those macros contain this action to nest even further. Does this make sense? Is there a reason this wouldn't be a good idea? It doesn't seem like it would be insanely difficult to implement?