Let's suppose that I do actually want to define __HADDOCK__ for my library.
Can I do this with a user-defined hook using the Cabal library?

You might want to define it conditionally, depending on version.

I certainly might!

Cabal supports package-version macros, and haddock installs both
a package (the paths are wrong in the package description, but you
can find the version number there) and an executable for itself, but the package version macros are not available in Setup.hs.

That's good to know. And I just found the documentation:
http://www.haskell.org/ghc/docs/latest/html/Cabal/authors.html#cpp

This sounds like it only works with package dependencies. Does it also work with Haddock as a processing tool?

Still, you might find something useful in the discussion for this ticket:

Cabal should support Cabal-version-dependent Setup.hs
http://hackage.haskell.org/trac/hackage/ticket/326