You could also create ~/Library/KeyBindings/ and save this as DefaultKeyBinding.dict:
{
"~w" = selectWord:; // option-w
}
You have to reopen applications to apply changes. DefaultKeyBinding.dict doesn't work in Xcode or some cross-platform applications, but you could use KeyRemap4MacBook as a fallback:
<?xml version="1.0"?>
<root>
<item>
<name>Xcode</name>
<identifier>private.xcode</identifier>
<only>XCODE</only>
<autogen>__KeyToKey__ KeyCode::W, VK_OPTION | ModifierFlag::NONE, KeyCode::CURSOR_LEFT, ModifierFlag::OPTION_L, KeyCode::CURSOR_RIGHT, ModifierFlag::OPTION_L | ModifierFlag::SHIFT_L</autogen>
</item>
</root>