Unit tests and foreign key constraints

I've started trying to use foreign key constraints in my schema but it seems to make it more difficult to write unit tests that touch the database because each test now requires more setup data to satisfy the foreign key constraint. (I know some say your unit tests shouldn't touch the DB but the more full stack tests I have, the better I sleep at night :-))

I wondered if anyone else has run into this problem and found a good strategy to mitigate it. I thought I might be able to make these constraints deferred during a test run since I have automatic rollback after each test but even after "set constraints all deferred", I still got a foreign key violation during my test run if the test tries to insert data with a non-existent foreign key.

Cheers,

Andy