I'm increasingly a fan of local named functions in JS, vs. pulling callbacks entirely out of scope. An example:

    function compile(filename, ready) {
      return fs.readFile(filename, make_fn)

      function make_fn(err, data) {
        if(err) return ready(err)

        ready(null, new Function(data))
      }
    }

Which neatly addresses the desire to retain closures, while avoiding unnecessary nesting.

Also, whenever possible, I like to nix callbacks by using Function#bind:

    res.on('data', accum.push.bind(accum))

    // vs:
    res.on('data', function(data) { accum.push(data) })