Select boxes are actually generated by the OS, hence they look different if you're on a Mac etc. As such there is a limit to what you can do with them.
With CSS you can change the font parameters and background colour on individual options. Background colour changes do not show in NN4.
Actual changes to the select only display in Netscape 6+/Mozilla (and possibly Opera, although I'm not sure) and are limited to border changes (which can get rid of the sunken 3D effect). Colour changes to the select are not supported at all.