Invalid Choice

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If the user's choice is not one of the valid ones then the choice must be invalid.
The else statement applies if none of the previous tests resulted in True.

# previous code
if option == 'a':
    print 'You selected "a"'
elif option == 'b':
    print 'You selected "b"'
elif option == 'c':
    print 'You selected "c"'
else:                                     ### Note that else has no test of its own.
    print 'Invalid choice - try again'

Running the code produces this output:

Enter your choice: g Invalid choice - try again

Enter some invalid input, for example, g. A suitable message is displayed.

Currently the only way to try again is to re-start the program.