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You can customise it to a certain extent in CSS but not a huge deal. JS or replacement techniques are the way forward for true customisation.
You could for example use a hidden form element and make a drop-down menu style item out of ul>li, then take the item they click on, and make the value of the hidden form element that li item using JS. Not really recommended, but doable.
What you can do with a select box in CSS is change everything a normal text-input item will accept. This won’t cascade down to the select items. But you can change the font and the color of these items, as well as the padding.