Vim: Creating parent directories on save

augroup BWCCreateDir
    autocmd!
    autocmd BufWritePre * if expand("<afile>")!~#'^\w\+:/' && !isdirectory(expand("%:h")) | execute "silent! !mkdir -p ".shellescape(expand('%:h'), 1) | redraw! | endif
augroup END

Note the conditions: expand("<afile>")!~#'^\w\+:/' will prevent vim from creating directories for files like ftp://* and !isdirectory will prevent expensive mkdir call.

Update: sligtly better solution that also checks for non-empty buftype and uses mkdir():

function s:MkNonExDir(file, buf)
    if empty(getbufvar(a:buf, '&buftype')) && a:file!~#'\v^\w+\:\/'
        let dir=fnamemodify(a:file, ':h')
        if !isdirectory(dir)
            call mkdir(dir, 'p')
        endif
    endif
endfunction
augroup BWCCreateDir
    autocmd!
    autocmd BufWritePre * :call s:MkNonExDir(expand('<afile>'), +expand('<abuf>'))
augroup END