HTML:- You can use inline style like below,
<select>
<option style="background-image:url(1stimage.gif);">1</option>
<option style="background-image:url(2ndimage.gif);">2</option>
<option style="background-image:url(3rdimage.gif);">3</option>
</select>
The above code would work in Firefox and Webkit browsers. For rest of the browsers you can use JQuery UI, please find the link below
http://docs.jquery.com/UI/Selectable
EDIT: You can also try this http://www.jankoatwarpspeed.com/post/2009/07/28/reinventing-drop-down-with-css-jquery.aspx