Since writing this answer, better ways have come up. Please see the other answers below that have more votes and a better answer. I cannot remove this answer since it's marked as accepted.
There is an issue on the TypeScript codeplex that describes this: Support for object initializers.
As stated, you can already do this by using interfaces in TypeScript instead of classes:
interface Name {
first: string;
last: string;
}
class Person {
name: Name;
age: number;
}
var bob: Person = {
name: {
first: "Bob",
last: "Smith",
},
age: 35,
};