Can I use multiple "with"?

Just for example:

With DependencedIncidents AS
(
	SELECT INC.[RecTime],INC.[SQL] AS [str] FROM
	(
		SELECT A.[RecTime] As [RecTime],X.[SQL] As [SQL] FROM [EventView] AS A 
		CROSS JOIN [Incident] AS X
			WHERE
				patindex('%' + A.[Col] + '%', X.[SQL]) > 0
	) AS INC
)

With lalala AS
(
	SELECT INC.[RecTime],INC.[SQL] AS [str] FROM
	(
		SELECT A.[RecTime] As [RecTime],X.[SQL] As [SQL] FROM [EventView] AS A 
		CROSS JOIN [Incident] AS X
			WHERE
				patindex('%' + A.[Col] + '%', X.[SQL]) > 0
	) AS INC
)

...doesn't work. "Error near With".

Also, I want to use first with inside second with. Is it real or I need to use temp tables?

Try:

With DependencedIncidents AS
(
	SELECT INC.[RecTime],INC.[SQL] AS [str] FROM
	(
		SELECT A.[RecTime] As [RecTime],X.[SQL] As [SQL] FROM [EventView] AS A 
		CROSS JOIN [Incident] AS X
			WHERE
				patindex('%' + A.[Col] + '%', X.[SQL]) > 0
	) AS INC
),
lalala AS
(
	SELECT INC.[RecTime],INC.[SQL] AS [str] FROM
	(
		SELECT A.[RecTime] As [RecTime],X.[SQL] As [SQL] FROM [EventView] AS A 
		CROSS JOIN [Incident] AS X
			WHERE
				patindex('%' + A.[Col] + '%', X.[SQL]) > 0
	) AS INC
)

And yes, you can reference common table expression inside common table expression definition. Even recursively. Which leads to some very neat tricks.

Yes - just do it this way:

WITH DependencedIncidents AS
(
  ....
),  
lalala AS
(
  ....
)

You don't need to repeat the WITH keyword