This is an exercise from Folland's book. Here's my attempt at showing ##\mathcal M_1\otimes\mathcal M_2\otimes\mathcal M_3=(\mathcal M_1\otimes\mathcal M_2)\otimes\mathcal M_3##.
##\subset##: since every measurable rectangle ##A_1 \times A_2## belongs to ##\mathcal M_1 \otimes \mathcal M_2##...