How Important is it to avoid nested queries.

I have always learnt to avoid them like a plague. But they are the most natural thing to me. When I am designing a query, the first thing I write is a nested query. Then I convert it to joins, which sometimes takes a lot of time to get right. And rarely gives a big performance improvement (sometimes it does)

So are they really so bad. Is there a way to use nested queries without temp tables and filesort