I was shocked to discover today that the online OED has no entry for rugelach. I searched under every perverse rendering of the Yiddish word רוגעלך possible in English spelling, but to no avail. Of course, the last update—posted on 16 September 2010—of the OED3 has only reached rotness in the editors' regular alphabetical run through the letter R, but I think that if they have seen fit to include a lexical item like rug muncher, the word rugelach ought to have received notice, too. The New Oxford American Dictionary includes rugelach, however, so I expect the next installment of R in the OED3 will do as well.
I was trying to verify that word comes Polish rogal, a kind of crescent roll made of good flour, taken into Yiddish and probably reanalysed as a diminutive (the singular is given as rugele in the Dictionary of Jewish usage: a guide to the use of Jewish terms by Sol Steinmetz (p. 44)). I believe that the diminutives make their plurals in -ech in some dialects of Yiddish, or often only a diminutive plural -lech exists. If you can fill in the details of such plural formation, do drop me a line. Polish rogal, crescent roll, is itself is derived from róg, "horn of an animal." According to Vasmer's etymological dictionary of Russian, the Slavic words for "horn of an animal" (Polish róg, Russian рог, etc.) have cognates in Lithuanian rãgas, Latvian rags, and Old Prussian ragis, but further connections are doubtful. Alas.