Also, in case you use $expand in your requests, please, take into account, that in this case OData is limited to not more than13 objects to return (see info box).
We need something different. The query would be from 1 to N, for example from an account bring all contacts as a collection and for each contact for example bring us all the addresses.
Thinking of an XML response we should have something like this:
Unfortunately, possibility to expand collection is not yet implemented in the system. However, please feel free to use the above mentioned approach, as a workaround.