This was a total PITA for me, so here's what I found after a bit of playing around with the UI.
I'm using GNOME 3 (the sexy new tablet friendly interface). I didn't see a place in the network connection drop-down to connect to a hidden wireless network, so I clicked on network settings.
You see three options on the left, Wired, Wireless, and Network Proxy. I clicked Wireless, but everything appeared to be disabled. It's not! Click the Network Name drop-down and select other. This takes you to the interface that let's you easily setup a connection to a hidden wireless network.
Yay! Now you can go to Facebook and complain about this.
I couldn't figure this out for a while. Instead, I went to network connections and tried to setup a connection manually. I had everything except for the MAC address of the access point. You need that, and the easy interface will give it to you. The old, less wise version of me didn't know that.