I don't think you can style the drop down list.
Your best bet is create your own drop down control. The following shows CSS3 techniques relevant to what you're doing.
Create a Dropdown Menu Using CSS[
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Although whilst you can't control the drop down, you can style the rest. Although the limiting factor will be IE. Using the border-radius and border-image CSS3 features you can do quite drastic restyling of controls using webkit browsers.