ok, that was stupid. Works now. Very nice.

defmodule EctoAtomId do
  @callback dummy() :: any()
  @optional_callbacks dummy: 0

  defmacro __using__(opts) do
    quote location: :keep, bind_quoted: [opts: opts] do
      @behaviour EctoAtomId

      use Ecto.Type

      @ids Keyword.fetch!(opts, :ids)
      @ids_as_string for(id <- @ids, do: Atom.to_string(id))
      @type_name Keyword.fetch!(opts, :type_name)

      def type, do: @type_name

      def cast(data) when data in @ids_as_string, do: {:ok, String.to_existing_atom(data)}
      def cast(data) when data in @ids, do: {:ok, data}
      def cast(), do: :error

      def load(data) when data in @ids_as_string, do: {:ok, String.to_existing_atom(data)}
      def load(_), do: :error
      def dump(id), do: {:ok, Atom.to_string(id)}
    end
  end
end

Example for using these types:

defmodule Person do
  use Ecto.Schema

  @primary_key false
  embedded_schema do
    field(:id, :integer)
    field(:name, :string, null: false)
    field(:age, :integer)
    field(:job, Job)
    field(:hobbies, {:array, Hobby})
    field(:friends, {:array, :integer})
  end
end

iex(2)> data = %{id: 1, name: "Bob", age: "18", job: "job_programmer", friends: [2, 4711], hobbies: ["hobby_freeclimbing", "hobby_painting"]}
...

iex(3)> p = Ecto.Changeset.cast(%Person{}, data, Map.keys(data)) |> Ecto.Changeset.apply_changes()  
%Person{
  age: 18,
  friends: [2, 4711],
  hobbies: [:hobby_freeclimbing, :hobby_painting],
  id: 1,
  job: :job_programmer,
  name: "Bob"
}