You can style a somewhat limited number of properties for the <option> elements. I think there may some variation between browsers as to which are supported. A simple example:
style sheet:
.red { color: red; background-color: white; }
.blue { color: navy; background-color: yellow; }
HTML:
<select name='test'>
<option class='red'>This is red</option>
<option class='blue'>This is blue</option>
</select>
