This code will work only in Firefox:
<select>
<option value="volvo" style="background-image:url(images/volvo.png);">Volvo</option>
<option value="saab" style="background-image:url(images/saab.png);">Saab</option>
<option value="honda" style="background-image:url(images/honda.png);">Honda</option>
<option value="audi" style="background-image:url(images/audi.png);">Audi</option>
</select>
Edit (April 2018):
Firefox does not support this anymore.