I was curious about what the purpose of OnModelCreating in EF4 Code-First context class? How does it work?
OnModelCreating gives you access to a ModelBuilder instance that you can use to configure/customize the model.
As the previous answer mentions, you will typically use the code-first fluent API within it. Gil Fink has posted what IMHO is a clearer explanation than the article cited in the previous answer.
For background info, Guthrie has a nice intro article on EF Code-First, and if you are wondering why its referred to as "fluent API", look here.
Here is a nice article in ADO.NET Team Blog.
In short, this event is mainly for Fluent mapping.