Select dividido em grupos

<P>Which Web browser do you use most often?
<SELECT NAME=browser>
<OPTGROUP LABEL="Firefox">
  <OPTION LABEL="2.0 or higher">
    Firefox 2.0 or higher
  </OPTION>
  <OPTION LABEL="1.5.x">Firefox 1.5.x</OPTION>
  <OPTION LABEL="1.0.x">Firefox 1.0.x</OPTION>
</OPTGROUP>
<OPTGROUP LABEL="Microsoft Internet Explorer">
  <OPTION LABEL="7.0 or higher">
    Microsoft Internet Explorer 7.0 or higher
  </OPTION>
  <OPTION LABEL="6.x">Microsoft Internet Explorer 6.x</OPTION>
  <OPTION LABEL="5.x">Microsoft Internet Explorer 5.x</OPTION>
  <OPTION LABEL="4.x">Microsoft Internet Explorer 4.x</OPTION>
</OPTGROUP>
<OPTGROUP LABEL="Opera">
  <OPTION LABEL="9.0 or higher">Opera 9.0 or higher</OPTION>
  <OPTION LABEL="8.x">Opera 8.x</OPTION>
  <OPTION LABEL="7.x">Opera 7.x</OPTION>
</OPTGROUP>
<OPTION>Safari</OPTION>
<OPTION>Other</OPTION>
</SELECT>
</P>

Referência: http://htmlhelp.com/reference/html40/forms/optgroup.html