I'm late to this game, and Robin Chapman's elaboration of Qiaochu's example is good -- so good I just used it as a (counter)-example in my answer here. Whilst thinking about that, I realised there is another example which feels slightly more natural to me as someone who works with $p$-adics a lot:
Let $K$ be the field $\mathbb Q_p((X))$ of Laurent series over the $p$-adics. We have the obvious rank-one discrete valuation
$$w_1(\sum a_i X^i) = \min\{i: a_i \neq 0\}$$
like over any other field of Laurent series, just treating the coefficient field as being of zero valuation and identifying it with the residue field of the valuation ring $R_1 = \{x \in K: w_1(x) \ge 0\} = \mathbb Q_p[[X]]$ with respect to its maximal ideal $\mathfrak{m}_1 = \{x \in K: w_1(x) \ge 1\}= X \cdot \mathbb Q_p[[X]]$.
So far we have not used that $\mathbb Q_p$ has a valuation $v_p$ as well. Let's do it. Define a rank-two valuation $w_2 : K \rightarrow \mathbb Z \times \mathbb Z \cup \{\infty\}$ as follows: $w_2(0) := \infty$ and for $0 \neq x = \sum a_i X^i$ set
$$w_2(x) := \left(w_1(x), v_p(a_{w_1(x)})\right)$$
i.e. we "refine" the rank-one valuation $w_1$ by also keeping track of the $p$-adic valuation of the leading coefficient. Of course we give the value group the lexicographic order here. Check that the valuation ring to this is
$$R_2 = \{x \in K: w_2(x) \ge (0,0)\} = \{\sum_{i \ge 0} a_i X^i \in \mathbb Q_p[[X]]: a_0 \in \mathbb Z_p\};$$
and the maximal ideal of $R_2$ is
$$\mathfrak m_2= (p) = \{x \in K: w_2(x) \ge (0,1)\} = \{\sum_{i \ge 0} a_i X^i \in \mathbb Q_p[[X]]: a_0 \in p\mathbb Z_p\}.$$
Note that we have proper inclusions $R_2 \subsetneq R_1$ and $\mathfrak m_1 \subsetneq \mathfrak m_2$ (indeed, "the other way around"!), exactly as in the answer linked above. I found it worthwhile to think about how the valuation rings and their maximal ideals relate for this kind of "refinement" of a given valuation. One could obviously iterate the procedure.
It is also worthwhile to think how this example and Robin Chapman's / Qiaochu's are "almost the same". Actually, these are standard first examples of higher(-dimensional) local fields which have been studied in recent decades for their class field theory (Kato, Fesenko), and in connection to $p$-adic Langlands.