HTML：

What is your preferred vacation spot?<br>
<SELECT ID="my_select"> 

<OPTGROUP LABEL="OptGroup One." id="one">        
<OPTION LABEL="Florida">Florida</OPTION>         
<OPTION LABEL="Hawaii">Hawaii</OPTION>         
<OPTION LABEL="Jersey">Jersey Shore</OPTION>    
</OPTGROUP> 

<OPTGROUP LABEL="OptGroup Two" id="two">  
<OPTION LABEL="Paris">Paris</OPTION>  
<OPTION LABEL="London">London</OPTION> 
<OPTION LABEL="Florence">Florence</OPTION>  
</OPTGROUP>

</SELECT>

JS：

$("#my_select").change(function(){
    var selected = $("option:selected",this);
    if(selected.parent()[0].id == "one"){
        //OptGroup 1,do something here..
    } else if(selected.parent()[0].id == "two"){
        //OptGroup 2,do something here
    }
});

示例：http://jsfiddle.net/pyG2v/