Optgroups in Drupal 7 select fields with the Form API

mymodule.module.php

<?php

//Wow I don't miss working on Drupal. Anyway, I needed to do so recently and this took a little Googling to figure out.
//Drupal 7 select fields can have optgroups if you make their options an array of arrays, keyed by the optgroup names

function mymodule_form_alter(&$form, &$form_state, $form_id){

    //assuming we are trying to alter the form of a custom node type called event
    if ($form_id == 'event_node_form') {

        $optgroup_options = array(
            'Optgroup one' => array(123 => 'First value', 456 => 'Second value'),
            'Optgroup two' => array(456 => 'Third value', 789 => 'Fourth value'),
        );

        //assume the field we are altering is called 'country' and is a select field
        $form['field_country']['und']['#options'] = $optgroup_options;

    }

}//mymodule_form_alter()