Bind an event handler to the focus event of the select to capture the previous value. Then set the value of the select to the previous value when reset is clicked.
var previousValue = "";
$("#my_select").on("focus",function(){
previousValue = $(this).val();
});
$("#reset").on("click", function () {
$("#my_select").val(previousValue);
});
Working Example: http://jsfiddle.net/T8sCf/17/