Since select lists are browser devices, not HTML, there is no way to style them. The only way to actually do this would be to create a select list using an unordered list, styling it with CSS then adding JS functionality.

I have a very simple JS one that I've created a while back, but it is by no means meant for long lists. It's also not form friendly yet. You'll need to add some type of functionality via JS so variables are actually submitted with the rest of the form. I have not tested this in any browsers, so if it doesn't work, sorry!

http://ryanfait.com/work/select-list/