If you use ConnectionFactory, your event subscribers attached to the connection will stop working, for example stofDoctrineExtensions. 
Here is my method. I have as with ConnectionFactory have empty connection and EntityManager. While working I just replace connection configuration by Reflections. Works on SF 2.0.10 ;)
class YourService extends ContainerAware
{ 
  public function switchDatabase($dbName, $dbUser, $dbPass) 
  {
    $connection = $this->container->get(sprintf('doctrine.dbal.%s_connection', 'dynamic_conn'));
    $connection->close();
    $refConn = new \ReflectionObject($connection);
    $refParams = $refConn->getProperty('_params');
    $refParams->setAccessible('public'); //we have to change it for a moment
    $params = $refParams->getValue($connection);
    $params['dbname'] = $dbName;
    $params['user'] = $dbUser;
    $params['password'] = $dbPass;
    $refParams->setAccessible('private');
    $refParams->setValue($connection, $params);
    $this->container->get('doctrine')->resetEntityManager('dynamic_manager'); // for sure (unless you like broken transactions)
  }
}
UPDATE:
More elegant solution for doctrine 2.2 / sf 2.3 (without relection), created for php5.4 (I love new array initializer :D)
We can use doctrine feature called connection wrapper, see http://docs.doctrine-project.org/projects/doctrine-dbal/en/latest/reference/portability.html
This example use session service for temporary storing connection details.
At first we have to create special connection wrapper:
namespace w3des\DoctrineBundle\Connection;
use Doctrine\DBAL\Connection;
use Symfony\Component\HttpFoundation\Session\Session;
use Doctrine\Common\EventManager;
use Doctrine\DBAL\Events;
use Doctrine\DBAL\Event\ConnectionEventArgs;
/*
 * @author Dawid zulus Pakula [zulus@w3des.net]
 */
class ConnectionWrapper extends Connection
{
const SESSION_ACTIVE_DYNAMIC_CONN = 'active_dynamic_conn';
/**
 * @var Session
 */
private $session;
/**
 * @var bool
 */
private $_isConnected = false;
/**
 * @param Session $sess
 */
public function setSession(Session $sess)
{
    $this->session = $sess;
}
public function forceSwitch($dbName, $dbUser, $dbPassword)
{
    if ($this->session->has(self::SESSION_ACTIVE_DYNAMIC_CONN)) {
        $current = $this->session->get(self::SESSION_ACTIVE_DYNAMIC_CONN);
        if ($current[0] === $dbName) {
            return;
        }
    }
    $this->session->set(self::SESSION_ACTIVE_DYNAMIC_CONN, [
        $dbName,
        $dbUser,
        $dbPass
    ]);
    if ($this->isConnected()) {
        $this->close();
    }
}
/**
 * {@inheritDoc}
 */
public function connect()
{
    if (! $this->session->has(self::SESSION_ACTIVE_DYNAMIC_CONN)) {
        throw new \InvalidArgumentException('You have to inject into valid context first');
    }
    if ($this->isConnected()) {
        return true;
    }
    $driverOptions = isset($params['driverOptions']) ? $params['driverOptions'] : array();
    $params = $this->getParams();
    $realParams = $this->session->get(self::SESSION_ACTIVE_DYNAMIC_CONN);
    $params['dbname'] = $realParams[0];
    $params['user'] = $realParams[1];
    $params['password'] = $realParams[2];
    $this->_conn = $this->_driver->connect($params, $params['user'], $params['password'], $driverOptions);
    if ($this->_eventManager->hasListeners(Events::postConnect)) {
        $eventArgs = new ConnectionEventArgs($this);
        $this->_eventManager->dispatchEvent(Events::postConnect, $eventArgs);
    }
    $this->_isConnected = true;
    return true;
}
/**
 * {@inheritDoc}
 */
public function isConnected()
{
    return $this->_isConnected;
}
/**
 * {@inheritDoc}
 */
public function close()
{
    if ($this->isConnected()) {
        parent::close();
        $this->_isConnected = false;
    }
}
}
Next register it in your doctrine configuration:
…
connections:
  dynamic:
    driver:   %database_driver%
    host:     %database_host%
    port:     %database_port%
    dbname:   'empty_database'
    charset:  UTF8
    wrapper_class: 'w3des\DoctrineBundle\Connection\ConnectionWrapper'
And our ConnectionWrapper is properly registered. Now session injection.
First create special CompilerPass class:
namespace w3des\DoctrineBundle\DependencyInjection\CompilerPass;
use Symfony\Component\DependencyInjection\Compiler\CompilerPassInterface;
use Symfony\Component\DependencyInjection\ContainerBuilder;
use Symfony\Component\DependencyInjection\Definition;
use Symfony\Component\DependencyInjection\Reference;
class ConnectionCompilerPass implements CompilerPassInterface
{
/**
 * {@inheritDoc}
 */
public function process(ContainerBuilder $container)
{
    $connection = $container
    ->getDefinition('doctrine.dbal.dynamic_connection')
    ->addMethodCall('setSession', [
        new Reference('session')
    ]);
}
}
And we record our new compiler class in *Bundle class:
public function build(ContainerBuilder $container)
{
    parent::build($container);
    $container->addCompilerPass(new ConnectionCompilerPass());
}
And that its all!
Connection will be created on demand, based on session properties.
To switch database, just use:
$this->get('doctrine.dbal.dynamic_connection')->forceSwitch($dbname, $dbuser, $dbpass);
Advantages
- No more reflection
 
- Creation on demand
 
- Elegant and powerfull
 
Disadvantages
- You have to manualy cleanup your entity manager, or create special doctrine event for this
 
- Much more code