Get clicked option in multiple dropdown

Would something like the following help you?

$('#myList').delegate('option', 'click', function (opt) {
  alert('Option ' + opt.value + ' was clicked');
});

As you know, If the user clicked on opt #4 without Cntrl key pressed, then you will only get Opt#4 as the selected option.

If the user clicked on opt #4 with Cntrl key pressed, then all three options will be selected. So all three options will be returned. If you want only Opt#4, then you would need to add a click event handler.

You can get it in the click handler for each option element:

$("#myList option").click(function() {
    var clickedOption = $(this);
});

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Update

EDIT: As I manipulate the list inside a change event, I can't do it in a click event.

In that case you need to delegate the event using on. Try this:

$("#myList").on("click", "option", function() {
    var clickedOption = $(this);
});

One thing to note, however, is that option elements will not raise click events at all in IE, so neither of the above will not work in that browser.