Ahi esta.
Código PHP:
<html>
<body>
<script type="text/javascript">
function f_cambiaColor(slect){ document.getElementById("slect_c").style.backgroundColor=slect.options[slect.selectedIndex].style.backgroundColor;
}
</script>
<select id="slect_c" onchange="f_cambiaColor(this);">
<option>Selecciona un color</option>
<option style="background-color:#999999;">Option 1</option>
<option style="background-color:#99CCFF;">Option 2</option>
</select>
</body>
</html>
Saludos.