There is work going on at OCaml Labs on a parallel runtime. I suspect it will be useful, but in the end, message passing is I think a better idiom than shared memory threads for parallel programming. When the true parallel runtime lands, I'm not sure that we'll actually use it much for running truly parallel threads.
Don't get me wrong: OTP by all accounts has richer support for this kind of stuff. I think OCaml is a better language for many purposes, but OTP is a great runtime and set of libraries whose equal is not yet found in any other language as far as I can tell.
It really depends on the problem you are working with. You wouldn't want to make a high-performance HTTP server this way. Especially if you get to copy 2MB of POST data every time.