On most browsers (tested on latest IE and FF), you can easily change the optgroup's label with CSS only:
select optgroup{
background:#000;
color:#fff;
font-style:normal;
font-weight:normal;
}
Obviously, you can set any classname instead of the select html tag.
By the way, as other answers said, there are still few CSS options to use with select boxes and many webmasters override them using the method given by user949847. But this code above should be sufficient to match your needs.
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