How Do I Set Multiple Categories for a Podcast?
Your second format is the proper one. Even if the iTunes listing only shows one category after the name, it will be searchable under both. 

More explanation can be found here, or in the official documentation and a properly formatted multi-category tag is shown below:

&lt;itunes:category text="Technology"&gt;
&lt;itunes:category text="Computers" /&gt;
&lt;itunes:category text="News" /&gt;
&lt;/itunes:category&gt;


If you want multiple subcategories in different main categories, you would do something like your first example:

&lt;itunes:category text="Arts &amp;amp; Entertainment"&gt;
    &lt;itunes:category text="Games" /&gt;
&lt;/itunes:category&gt;
&lt;itunes:category text="Technology"&gt;
    &lt;itunes:category text="Computers" /&gt;
&lt;/itunes:category&gt;