CoRD–RDP Remote Desktop for Mac
I had the very strange problem, that the RDP Client for Mac from Microsoft did not work with nested RDP sessions. That means when I connect from my Mac to my Windows 7 Desktop and from that to a remote Windows Server, the shift key was only working occasionally. Argh!
The solution is CoRD! A fancy RDP Client for Mac (http://cord.sourceforge.net/) Works like a charm!