Hi zankaon,
Gravity most definitely is believed to gravitate. All forms of mass and energy (with the possible exception of the kinetic energy of movement) are believed to gravitate, regardless of whether they have a zero rest mass. This includes gravity itself, photons, and the strong and weak nuclear forces.
When a very large star (say, more than 20 solar masses) runs low on fuel to sustain its fusion, its internal pressure drops and it begins to collapse on itself. This causes density to increase, which increases the internal gravitational field, and so on; the process becomes self-reinforcing until the star collapses to a black hole singularity. "Remarkably, as one approaches the singularity, it is this gravitation of gravity, rather than the gravitation of matter, that is the most important effect - or, as it is sometimes said, near a singularity matter doesn't matter."
The quotation is from the Einstein Online article on http://http://www.einstein-online.info/en/spotlights/singularities_bkl/index.html" These articles also explain the nonintuitive concept of "mass defect".
Jon