Whilst seeing what the new menus options does in wordpress 3, I created a new one, then deleted it straight away and all works ok.
I then created another one, this time selecting all the categories and adding them to the menu. I then saved the menu. When deleting this menu, the following php error occurs:
[19-Jun-2010 05:17:36] PHP Warning: implode() [function.implode]: Invalid arguments passed in /home/xxxxxxxxx/public_html/wp-content/plugins/search-unleashed/engines/indexed.php on line 115
Whether this is an issue with wordpress 3 or the plugin I don't know, but just thought I'd let you know about the error. I realise the plugin is only listed as compatible up to 2.9.2 so just a heads up that this may be something that needs looking at to be compatible with 3.