How can I set the background color of <option> in a <select> element?

I assume you mean the <select> input element?

Support for that is pretty new, but FF 3.6, Chrome and IE 8 render this all right:

<select name="select">
  <option value="1" style="background-color: blue">Test</option>
  <option value="2" style="background-color: green">Test</option>
</select>

select.list1 option.option2
{
    background-color: #007700;
}
<select class="list1">
  <option value="1">Option 1</option>
  <option value="2" class="option2">Option 2</option>
</select>

I had this problem too. I found setting the appearance to none helped.

.class {
    appearance:none;
    -moz-appearance:none;
    -webkit-appearance:none;

    background-color: red;
}