Why not use a filter?
var thevalue = 'foo';
var exists = $('#select-box option').filter(function(){ return $(this).val() == thevalue; }).length;
Loose comparisons work because exists > 0 is true, exists == 0 is false, so you can just use
if(exists){
// it is in the dropdown
}
Or combine it:
if($('#select-box option').filter(function(){ return $(this).val() == thevalue; }).length){
// found
}
Or where each select dropdown has the select-boxes class this will give you a jquery object of the select(s) which contain the value:
var matched = $('.select-boxes option').filter(function(){ return $(this).val() == thevalue; }).parent();