Just to update this question for C++11, this is now both possible to do and very natural:
struct Foo { Foo(int x) { /* ... */ } };
struct Baz {
Foo foo[3];
Baz() : foo{{4}, {5}, {6}} { }
};
Those braces can also be elided for an even more concise:
struct Baz {
Foo foo[3];
Baz() : foo{4, 5, 6} { }
};
Which can easily be extended to multi-dimensional arrays too:
struct Baz {
Foo foo[3][2];
Baz() : foo{1, 2, 3, 4, 5, 6} { }
};