Although you can't change the arrow, you can, on the other hand, style colors of the individual <option> elements.
<option value='1' style='background: red; color: red;'>red</option>
<option value='2' style='background: blue; color: blue;'>blue</option>
Styling the individual <option> elements isn't widely supported by older browsers, but it does work on newer browsers, best on Mozilla, partially on IE, although I'm pretty sure that IE supports both background and foreground color changes in this case.
HTH!
Regards,
Rich
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The Spicy Peanut Project
http://www.spicypeanut.net
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