What I'm looking for is this function:
def maybe[A, B](a: Option[A])(f: A => B)(g: () => B): B = a match 
{
    case Some(x) => f(x)
    case None => g()
}
It's in the Haskell prelude so I'm thinking it might be in the Scala standard library somewhere and I've just missed it. I hate having to recode it in projects so I'm wondering if anyone knows where it is, or if it's definitively not there. Or is there a better method for getting this functionality?
Other answers have given the map + getOrElse composition.  Just for the record, you can "add" a maybe function to Option in the following way:
implicit def optionWithMaybe[A](opt: Option[A]) = new {
  def maybe[B](f: A=>B)(g: =>B) = opt map f getOrElse g
}
It's worth noting that the syntax of higher-order functions in Scala is usually nicer when the function parameter comes last.  Thus, a better way to organize maybe would be as follows:
def maybe[B](g: =>B)(f: A=>B) = opt map f getOrElse g
This could be used as follows:
val opt: Option[String] = ...
opt.maybe("") { _.toUpperCase }
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