You can write powerful macros to extend the language itself with your own custom features. Some examples of this include OCaml bitstring (really easy bitstring handling), sexplib and Micmatch (adding regular expressions to the language). Features from other programming languages can often be added to OCaml using this mechanism: for example, Perl-style $variables or direct access to databases.
Martin Jambon, author of Micmatch, has an excellent tutorial.
Browse the list of syntax extensions here.