# Models
class User < ActiveRecord::Base
  has_many :items 
end 
class Items < ActiveRecord::Base
  belongs_to :user 
  validates_presence         
        I wrote it properly with inheritance and all that. My commits are merged in here and here.
It's now in FactoryGirl 1.2.3, woot!
I ended up patching factory girl to allow after_build and after_create callbacks.
Factory.class_eval do
  def run (proxy_class, overrides) #:nodoc:
    proxy = proxy_class.new(build_class)
    proxy.callbacks = @callbacks
    overrides = symbolize_keys(overrides)
    overrides.each {|attr, val| proxy.set(attr, val) }
    passed_keys = overrides.keys.collect {|k| Factory.aliases_for(k) }.flatten
    @attributes.each do |attribute|
      unless passed_keys.include?(attribute.name)
        attribute.add_to(proxy)
      end
    end
    proxy.result
  end
  def after_create(&block)
    @callbacks ||= {}
    @callbacks[:after_create] = block
  end
  def after_build(&block)
    @callbacks ||= {}
    @callbacks[:after_build] = block
  end
end
Factory::Proxy.class_eval do
  attr_accessor :callbacks
  def run_callback(name)
    callbacks && callbacks[name] && callbacks[name].call(@instance)
  end
end
Factory::Proxy::Build.class_eval do
  def result
    run_callback(:after_build)
    @instance
  end
end
Factory::Proxy::Create.class_eval do
  def result
    run_callback(:after_build)
    @instance.save!
    run_callback(:after_create)
    @instance
  end
end
This could be an evil twin or just an extension you require.
# Models
class User < ActiveRecord::Base
  has_many :items
end
class Items < ActiveRecord::Base
  belongs_to :user
  validates_presence_of :user_id
end
# Factories
Factory.define(:user) do |u|
  u.name "foo"
end
Factory.define(:user_with_items, :parent => :user) do |u|
  u.after_build do |o|
    o.items = [Factory.build(:item, :user => o), Factory.build(:item, :user => o)]
  end
end
Factory.define(:item) do |i|
  i.color "red"
end
Factory.define(:item_with_user, :parent => :user) do |i|
  i.association(:user)
end
# Run
user = Factory(:user_with_items)
user.items(true) # Shows the two saved items
Hope this helps someone in the future. I'll probably attempt to submit this to the guys at thoughtbot, but there's a couple stale tickets in their bug tracker on the subject already.
I usually like to separate building and creating so i can still build the object without going to the database.
Factory.define(:user_with_items, :parent => :user) do |u|
  u.after_build do |u|
    u.items = (1..2).map {Factory.build(:item, :user => u)}
  end
  u.after_create do |u|
    u.items.each {|i| i.save!}
  end
end