I have this code that's working only on Firefox and not all browsers, although :after works on the others too.
HTML:
<select>
    <option> select </option>
    <option class="red"> one </option>
    <option class="green"> two </option>
    <option class="blue"> three </option>
</select>
CSS:
option:after {
    content: " ";
    height: 5px;
    width: 5px;
    border-radius: 5px;
    display: inline-block;
}
option.red:after { background: #c00; }
option.green:after { background: #0c0; }
option.blue:after { background: #00c; }
JS Fiddle: http://jsfiddle.net/abude/EAdvP/