ESC will do it. But you shouldn't really need to. You just continue typing and the menu goes away and pops back as needed. It does its best to be unobtrusive.
If your going to use Snipmate, you may want to remap the completion selection key from TAB to something else (if you want to use TAB for Snipmate). See the docs for details.
Note that shift-tab won't work in the console because the console won't pass that key combo to vim. Again, this can be remapped.