<html>
<head>
<style type="text/css">
option.red {background-color:red}
option.blue {background-color:blue}
option.white {background-color:white}
</style>
</head>
<select>
<option value="item 1" class="red">Item 1</option>
<option value="item 2" class="blue">Item 2</option>
<option value="item 3" class="white">Item 3</option>
</select>
</html>
or
You'll need some JavaScript for it to work in other browsers:
<select onchange="this.style.backgroundColor=this.options[this.selectedIndex].style.backgroundColor">
<option style="background-color:yellow">Item 1</option>
<option style="background-color:lightyellow">Item 2</option>
</select>
Even nicer with css class names:
<select>
onchange="this.className=this.options[this.selectedIndex].className"
class="important">
<option class="important" selected="selected">Item 1</option>
<option class="sorta-important">Item 2</option>
</select>
And your css:
.important { background-color:yellow; }
.sorta-important { background-color:lightyellow; }