Change select box option background color

You need to put background-color on the option tag and not the select tag...

select option {
    margin: 40px;
    background: rgba(0, 0, 0, 0.3);
    color: #fff;
    text-shadow: 0 1px 0 rgba(0, 0, 0, 0.4);
}

If you want to style each one of the option tags.. use the css attribute selector:

select option {
  margin: 40px;
  background: rgba(0, 0, 0, 0.3);
  color: #fff;
  text-shadow: 0 1px 0 rgba(0, 0, 0, 0.4);
}

select option[value="1"] {
  background: rgba(100, 100, 100, 0.3);
}

select option[value="2"] {
  background: rgba(150, 150, 150, 0.3);
}

select option[value="3"] {
  background: rgba(200, 200, 200, 0.3);
}

select option[value="4"] {
  background: rgba(250, 250, 250, 0.3);
}

<select>
  <option value="">Please choose</option>
  <option value="1">Option 1</option>
  <option value="2">Option 2</option>
  <option value="3">Option 3</option>
  <option value="4">Option 4</option>
</select>

I don't know if you've considered it or not but if your application is based on coloring various groupings of items you should probably use the <optgroup> tag coupled with a class for further referencing. For example:

<select>
    <optgroup label="Numbers" class="green">
        <option value="1">One</option>
        <option value="2">Two</option>
        <option value="3">Three</option>
    </optgroup>

    <optgroup label="Letters" class="blue">
        <option value="a">A</option>
        <option value="b">B</option>
        <option value="c">C</option>
    </optgroup>
</select>

and then in the head of your document write the css like this:

<style type="text/css">
    .green option{
        background-color:#0F0;
    }

    .blue option{
        background-color:#00F;
    }
</style>

Yes, you can set this by the opposite way:

select { /* desired background */ }
option:not(:checked) { background: #fff; }

Check it working bellow:

select {
  margin: 50px;
  width: 300px;
  background: #ff0;
  color: #000;
}

option:not(:checked) {
  background-color: #fff;
}

<select>
  <option val="">Select Option</option>
  <option val="1">Option 1</option>
  <option val="2">Option 2</option>
  <option val="3">Option 3</option>
  <option val="4">Option 4</option>
</select>