T-SQL, 229 227 138
Been a while since I did an SQL answer and as always it's very verbose. Edit Of course I over complicated it and didn't need a recursive query at all.
CREATE FUNCTION A(@ INT)RETURNS TABLE RETURN SELECT'$$\varphi=1+\'+REPLICATE('cfrac1{1+\',@)+IIF(@>0,'d','')+'dots'+REPLICATE('}',@)+'$$'S
Original
CREATE FUNCTION A(@ INT)RETURNS TABLE RETURN WITH R AS(SELECT CAST('$$\varphi=1+\dots'AS VARCHAR(MAX))S,0N UNION ALL SELECT REPLACE(STUFF(S,14,0,'cfrac1{1+\'),'\do','\ddo')+'}',N+1FROM R WHERE N<=@)SELECT S+'$$'S FROM R WHERE N=@
This creates an inline table function that uses a recursive query to stuff in the additional cfrac1{1+\
per iteration. Changing the dots to ddots was expensive, but saved a couple getting rid of the replace :). Also having to cast the original string as 'VARCHAR(MAX)' cost a bit.
It's used as follows SQLFiddle:
SELECT *
FROM (SELECT N FROM(VALUES(0),(1),(2),(3),(4),(5))A(N)) N
CROSS APPLY A(N.N)
N S
--- ---------------------------------------------------------------------------
0 $$\varphi=1+\dots$$
1 $$\varphi=1+\cfrac1{1+\ddots}$$
2 $$\varphi=1+\cfrac1{1+\cfrac1{1+\ddots}}$$
3 $$\varphi=1+\cfrac1{1+\cfrac1{1+\cfrac1{1+\ddots}}}$$
4 $$\varphi=1+\cfrac1{1+\cfrac1{1+\cfrac1{1+\cfrac1{1+\ddots}}}}$$
5 $$\varphi=1+\cfrac1{1+\cfrac1{1+\cfrac1{1+\cfrac1{1+\cfrac1{1+\ddots}}}}}$$
N=0 $$\varphi=1+\dots$$
N=5 $$\varphi=1+\cfrac1{1+\cfrac1{1+\cfrac1{1+\cfrac1{1+\cfrac1{1+\ddots}}}}}$$