A closed form for $a_n$ is given by
$$\tag1 a_n=-\frac{\cos\left(\frac\pi{2^n}\right)}{\cos\left(\frac\pi{2^n}\right)+1}\ \ .$$
The formula will be derived in three steps.
Step 1. $a_{n+1}=:x$ is defined as the unique negative solution of
$$2(c+1)(2c+1)x^4-2x^3-5x^2-4x-1=0,\mbox{ where }c=a_n.$$
Now there is a factorisation
$$\tag2 2(c+1)(2c+1)x^4-2x^3-5x^2-4x-1=\\\hspace{10em} [(2c+1)x^2-2x-1][(2c+2)x^2+2x+1],$$
as can be easily verified. This will be used to show inductively
Lemma 1 The sequence $a_n$ is well defined and we have
$-\frac12<a_n\leq0$ for all $n$.
For $n=0$, this is true. If it is true for some $n$ then we have to show that $2(c+1)(2c+1)x^4-2x^3-5x^2-4x-1=0,c=a_n$, has a unique negative solution $x$ and that $-\frac12<x\leq0$.
Using (2), any solution of $2(c+1)(2c+1)x^4-2x^3-5x^2-4x-1=0$ satisfies $(2c+1)x^2-2x-1=0$ or $(2c+2)x^2+2x+1=0.$ Now the discriminant of the latter equation is $-4-8c<0$ because $c>-\frac12$. Hence the latter equation has no real solution. Clearly the former equation has a unique negative solution. Now the value of $(2c+1)x^2-2x-1$ at $x=0$ is $-1$ whereas at $x=-\frac12$ it is
$\frac14(2c+1)>0$. Hence the zero is strictly between $-\frac12$ and 0. From $(2c+1)x^2-2x-1=0$ we find that
$$\tag3 (2a_n+1)a_{n+1}^2-2a_{n+1}-1=0\mbox{ or }
a_{n+1}=\frac{1-\sqrt{2a_n+2}}{2a_n+1}.$$
Step 2. The formulas (3) remind the double- and half-angle formulas for the trigonometric and hyperbolic functions. We
would like to reduce (3) to a pair of those by a change of variables. More precisely, we want to reduce
$$\tag4 a_n=\frac1{a_{n+1}}+\frac1{2a_{n+1}^2}-\frac12$$
to some double angle formula by putting $a_n=M(A_n), a_{n+1}=M(A_{n+1})$ with some Möbius transformation
$$M(z)=\frac{rz+s}{tz+u}\mbox{ with certain constants }r,s,t,u.$$
Calling the right hand side of (4) $f(a_{n+1})$, observe that the fixed points of $f$ in the extended complex plane are the solutions of
$(2w+1)w^2=2w+1$ and hence $w=-1,-\frac12$ and $w=1$. Furthermore
the derivatives $f'(w)$ are 0,4 and $-2$ at $w=-1,-\frac12$ and $w=1$, respectively. These values do not change
by a conjugation $f\mapsto M^{-1}fM$. Comparing with the properties of the correponding maps in the double angle formulas,
we find a match in $\cos(2\phi)=2\cos^2(\phi)-1=:g(\cos(\phi))$:
The fixed points of $g$ are $v=\infty,-\frac12,1$ and the derivatives are $0,-2,4$, respectively.
This suggests that we use $M$ exchanging $-\frac12$ with 1 and
$-1$ with $\infty$, respectively.
A small calculation yields
$$M(z)=M^{-1}(z)=-\frac z{z+1}.$$
Another small calculation yields $g=MfM$ or more explicitely
$$A_{n}=2A_{n+1}^2-1\mbox{ if }A_n=M(a_n), A_{n+1}=M(a_{n+1})$$
as desired. Observe that we only have to consider nonnegative
$A_n$, because $M$ maps $]-\frac12,0]$ to $[0,1[$.
Hence
$$\tag5 A_{n+1}=\sqrt{\tfrac12(A_n+1)}.$$
Step 3. Given $a_1=0$, we have $A_1=0$ and we can write
$A_1=\cos(\frac\pi2)$. Since (5) is the half angle formula for $\cos$, we find using mathematical induction that
$$A_n=\cos\left(\frac\pi{2^n}\right)\mbox{ for all }n.$$
As $a_n=M(A_n)$ for all $n$, we finally obtain that
$$a_n=-\frac{\cos\left(\frac\pi{2^n}\right)}
{\cos\left(\frac\pi{2^n}\right)+1}\mbox{ for all }n,$$
that is formula (1). This completes the proof.