You can't format line breaks into an option; however, you can use the title attribute to give a mouse-over tooltip to give the full info. Use a short descriptor in the option text and give the full skinny in the title.
<option value="1" title="This is my lengthy explanation of what this selection really means, so since you only see 1 on the drop down list you really know that you're opting to elect me as King of Willywarts! Always be sure to read the fine print!">1</option>
<div style="width: 200px;">
<select style="width: 200px;">
<option value="">Volvo</option>
<option value="">You already have a live sesstion of this application open.Yoy can only have one session of this application in this webpage at a time.</option>
<option value="">Mercedes</option>
<option value="">Audi</option>
<option value="1" title="This is my lengthy explanation of what this selection really means, so since you only see 1 on the drop down list you really know that you're opting to elect me as King of Willywarts! Always be sure to read the fine print!">1</option>
</select>
</div>