Custom select and option elements

A picture of what I'm trying to make: http://ift.tt/1NsSovT

I want to make a custom select + option drop down menu. Is there a way of including content within the option tags, or am I better off making a drop down menu with jQuery and elements:

<div class="dropDown">
<ul>
    <li>Option 1 html here</li>
    <li>Option 2 html here</li>
    <li>Option 3 html here</li>
    <li>Option 4 html here</li>
</ul>
</div>