So even though it may have been sort of around since 2000 somehow I missed the optgroup tag, it just flew under my radar. It lets you add grouping/headers in side the humble select tag.
So with code like
<optgroup label="first group">
<optgroup label="second group">
you get something like this:
In theory you should be using labels for the option (for backwards compatibility) with the content of the option tag being the version displayed for non-optgroup labels...
I learned about this kind of the hardway... there's a reasonable cool jquery enhanced select box widget called select2. Its example page is a bit crap... the first example source doesn't mention anything about optgroup, but the exampl on the left is using it as part of a "normal select box".