How to memorize the Option key ⌥?
Weird/cool question!

I think I went through a similar thought process at one point: the way I think of it is like a set of train tracks. The train enters at the left and reaches a fork or split, giving it the option of the upper or lower path to the right. In the glyph, the tracks are set for the lower option.

Shift does have its own glyph: ⇧, which can be remembered as pushing the case of the typed letter up.