You can use some simple AppleScript to finely change the volume (on a scale from 0 to 100). Here's a little script to increment the volume by 2% (roughly what the Shift+Opt adjustment did):
set currentVolume to output volume of (get volume settings) set volume output volume (currentVolume + 2)
You can save these scripts as applications and put them in your dock/menu bar, paste it into Automator and make a service (which can be given a keyboard shortcut), put it in your menu bar with an app like FastScripts, or give it a keyboard shortcut with an app like Keyboard Maestro.
This is a solution, but it's certainly less convenient that the old way. I'm hoping that this feature's omission was an oversight that will be corrected in a future 10.7.x update.
[crarko adds: It does indeed seem to be gone. That's an odd thing to have removed. I ran the script from the AppleScript Editor and it does do the finer adjustment.]