You have to escape percent signs with a backslash:
0 0 * * * pg_dump DB_NAME > /path/to/dumps/`date +\%Y\%m\%d`.dmp
From man 5 crontab:
The ‘‘sixth’’ field (the rest of the line) specifies the command to
be
run. The entire command portion of the line, up to a
newline or %
character, will be executed by /bin/sh or by the shell specified in
the
SHELL variable of the crontab file. Percent-signs (%) in the
command,
unless escaped with backslash (\), will be changed into newline
characters, and all data after the first % will be sent to the command
as
standard input. There is no way to split a single command line
onto
multiple lines, like the shell’s trailing "\".
