The mathtools package provides a trick for this:
\documentclass{article}
\usepackage{mathtools} % loads also amsmath
\begin{document}
\[
\adjustlimits\sup_{f\in\mathcal{H}}\lim_{\epsilon\downarrow 0}\sup_{g\in\mathcal{H},0<\|g\|<\epsilon} \text{something}
\]
\end{document}
The \adjustlimits command should precede a pair of operators where you want the subscripts to be aligned.
Alternatively, you can define a new operator to be used in cases like these:
\documentclass{article}
\usepackage{amsmath}
\DeclareMathOperator*{\plim}{lim\vphantom{p}}
\begin{document}
\[
\sup_{f\in\mathcal{H}}\plim_{\epsilon\downarrow 0}\sup_{g\in\mathcal{H}, 0<\|g\|<\epsilon} \text{something}
\]
\end{document}

About avoiding $$ in LaTeX, please see Why is \[ … \] preferable to $$?
Also it's preferable to write \mathcal{H} with braces, to make clearer what symbol is involved.