David Pinson has sent in an example to keep us all sane:

 def on_optionmenu_activate(widget, data):
     print data                      # print the data for the 
                                     # current selection
 options = ["cat", "dog", "mouse"]   # our options
 menu = gtk.Menu()                   # create a menu
 for str in options:                 # fill our menu with the options
    menu_item = gtk.MenuItem(str)
    menu_item.connect("activate",    # attach "str" to widget
                      on_optionmenu_activate, str) 
    menu_item.show()                 # don't forget this here
    menu.append(menu_item)
 option_menu = gtk.OptionMenu()      # create the optionmenu
 option_menu.set_menu(menu)          # add the menu into the optionmenu

(Note that Kiwi also includes a new API for the OptionMenu that makes it much easier to manipulate: it does signal connection automatically, fills the menu and attaches objects to the items. Check it out)