After some struggling, this is the pattern I came up with for mapping JSON data to nested custom classes.

gistfile1.js

function Parent(data) {

    // Let constructor work or without new.
    // http://ejohn.org/blog/simple-class-instantiation/
    // This makes it easier to use _.map below.
    if (!(this instanceof Parent)) {
        return new Parent(data);
    }

    // Use JSON data passed in, or set defaults values.
    _.defaults(this, data, {
        name: "",
        children: []
    });

    // Map the children objects to the Child class.
    this.children = _.map(this.children, Child);
}

function Child(data) {
    if (!(this instanceof Child)) {
        return new Child(data);
    }

    _.defaults(this, data {
        name: ""
    });
}

// Example JSON data.
var data = {
    name: "foo",
    children: [
        { name: "bar" },
        { name: "baz" }
    ]
};

// This will create a Parent object with an array of Child objects.
var parent = new Parent(data);