hmm. As far as making the items bold goes, I am not a CSS Guru so I am not sure on that (I don't think you can however)**.
In so far as your binding is concerned, you have a couple of options, you can prepare your SQL Statement in such a way that your data is returned in the necessary format, e.g.
HEADING1(in BOLD)
-Item1
-Item2
HEADING2(in BOLD)
-Item3
-Item4
(this is trivial to do in SQL) and you just bind to the dropdown as you are doing above.
Secondly, you could loop through the result set and manually add the items to the dropdownlist but, if the items are not in the correct order the code you will have to write to get it in order would be lengthy (I would imagine).
All and all I suggest doing this in SQL Server.
**In the event that this CAN be done in CSS, it is going to be that you have to apply different styles to the <Option> tags, if this is the case you are going to have to populate your dropdownlist Classic ASP Style so
<select>
<%foreach(DataRow dr in dt.Rows){
if(somevalue = value)
{
%>
<option class="category"><%=dr["column"]%></option>
<%
}
else
{
%>
<option class="item"><%=dr["column"]%></option>
<%
}
<%}%>
</select>
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