Styling select boxes is notoriously difficult. They offer only a few elements that can be styled and these are very inconsistent between browsers. To start with, it’s usually best to leave form elements close to their browser defaults for usability reasons. Users are familiar with the basic form elements and there are built in usability features such as keyboard control that make it easy to use the elements without a mouse for example.
As an example, it can turn this:
Chosen features support for standard select elements, multiple select, select with option groups, default text, no results text, change and update events and more. If you want to make your select boxes look awesome while improving their user-friendliness, take a look at Chosen.