You should wrap each option
tag in an optgroup
tag and then style that as:
<select>
<optgroup style="font-family:arial">
<option>Arial</option>
</optgroup>
<optgroup style="font-family:verdana">
<option>veranda</option>
</optgroup>
<optgroup style="font-family:other">
<option>other</option>
</optgroup>
</select>