the :checked pseudo-class initially applies to such elements that have the HTML4 selected and checked attributes
Source: w3.org
So, this CSS works, although styling the color is not possible in every browser:
option:checked { color: red; }
An example of this in action, hiding the currently selected item from the drop down list.
option:checked { display:none; }
<select> <option>A</option> <option>B</option> <option>C</option> </select>
To style the currently selected option in the closed dropdown as well, you could try reversing the logic:
select { color: red; } option:not(:checked) { color: black; } /* or whatever your default style is */