First, you need to add the <option>s to the <select> that Chosen was bound to. For example:
$('.blah').append('<option value="foo">Bar</option>');
Then, you need to trigger the chosen:updated event:
$('.blah').trigger("chosen:updated");
More information can be found here (although you need to scroll down to Change / Update Events).
Update 7th August 2013
The event name has changed to chosen:updated since version 1.0 (July 2013) as Tony mentions in the comments. The updated documentation can be found here.