You can pass the nested template as a variable in the template assignments to the main template, e.g.:
HTML:
<script type="text/template" id="sub_template">
<article>
<h1>id: <%= id %><h1>
</article>
</script>
<script type="text/template" id="main_template">
<% for (var i = 0; i < num; i++) { %>
<%= renderSub({id:i}) %>
<% } %>
</script>
JS:
var renderSub = _.template( $('#sub_template').remove().text() ),
renderMain = _.template( $('#main_template').remove().text() );
renderMain({num:5, renderSub:renderSub});