I have a multi select dropdown eg:
You can get it in the click handler for each option element:
$("#myList option").click(function() {
var clickedOption = $(this);
});
Update
EDIT: As I manipulate the list inside a change event, I can't do it in a click event.
In that case you need to delegate the event using on. Try this:
$("#myList").on("click", "option", function() {
var clickedOption = $(this);
});
One thing to note, however, is that option elements will not raise click events at all in IE, so neither of the above will not work in that browser.