It seems in the 2 years since this was asked, the other browsers have caught up (at least on Windows… not sure about others). You can set a “title” attribute on the option tag:
<option value="" title="Tooltip">Some option</option>
This worked in Chrome 20, IE 9 (and its 8 & 7 modes), Firefox 3.6, RockMelt 16 (Chromium based) all on Windows 7