UPDATE: As of 2018, this seems to work now. Tested in Chrome, Firefox, IE and Edge
UPDATE: Yes I changed the background-color, not the image, stop voting me down, showing that you can change style here is still a useful contribution.
<!DOCTYPE html>
<html>
<body>
<style>
select#newlocale option[value="volvo"] { background-color: powderblue; }
select#newlocale option[value="opel"] { background-color: red; }
select#newlocale option[value="audi"] { background-color: green; }
</style>
<select id="newlocale">
<option value="volvo"><div >Volvo</div></option>
<option value="saab">Saab</option>
<option value="opel">Opel</option>
<option value="audi">Audi</option>
</select>
</body>
</html>