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Future Intelligent Transportation Systems (ITS) can improve on-road safety and transportation efficiency and vehicular networks (VNs) are essential to enable ITS applications via information sharing. The development of 5G introduces new technologies providing improved support for connected vehicles through highly dynamic heterogeneous networks. Machine Learning (ML) can capture the high dynamics of VNs but the distributed data cause new challenges for ML hence requires distributed solutions. Federated learning (FL), a distributed ML framework, gives a distributed ML framework while ensuring information privacy protection and is an exciting area to explore in VNs. This article provides a detailed summary of recent FL applications in VNs and gives insights on current research challenges. The included research topics are resource management, performance optimization and applications based on VNs.