From Halmos's Naive Set Theory, section 1:
Observe, along the same lines, that inclusion is transitive, whereas belonging is not. Everyday examples, involving, for instance, super-organizations whose members are organizations, will readily occur to the interested reader.
Belonging seems transitive. Can someone explain?





The difference between $\subset$ and $\in$ is that the former applies to expressions at the same level of nesting and the latter applies to expressions at one level of nesting apart from each other. So when you chain two $\in$'s together you get something at two levels of nesting, which is not in general comparable to a single $\in$. On the other hand, since $\subset$ doesn't change the level of nesting it doesn't have this problem.
This is the idea behind the example given in other answers of $$ \varnothing\in \{\varnothing\}\in \{\{\varnothing\}\},\qquad \varnothing \not\in \{\{\varnothing\}\}. $$