Image inside popup

You can also add a class to each selection item manually and assign a background image. eg:

HTML:

<select>
    <option class="email">Email</option>
    <option class="phone">Phone</option>
</select>

CSS

.email {
    background:url(path-toyour-icon.png) left top no-repeat #fff;
    padding-left: WITH_OF_YOUR_ICON;
}
.phone {
    background:url(path-toyour-icon.png) left top no-repeat #fff;
    padding-left: WITH_OF_YOUR_ICON;
}