Indeed, thanks to the comments to my post here, it looks like sparse directories are the way to go. I believe the following should do it:
svn checkout --depth empty http://svnserver/trunk/proj
svn update --set-depth infinity proj/foo
svn update --set-depth infinity proj/bar
svn update --set-depth infinity proj/baz
Alternatively, --depth immediates instead of empty checks out files and directories in trunk/proj without their contents. That way you can see which directories exist in the repository.
As mentioned in @zigdon’s answer, you can also do a non-recursive checkout. This is an older and less flexible way to achieve a similar effect:
svn checkout --non-recursive http://svnserver/trunk/proj
svn update trunk/foo
svn update trunk/bar
svn update trunk/baz