How do I make a placeholder for a 'select' box?

I'm using placeholders for text inputs which is working out just fine. But I'd like to use a placeholder for my selectboxes as well. Ofcourse I can just use this code:
<select>
    <option value="">Select your option</option>
    <option value="hurr">Durr</option>
</select>
But the 'Select your option' is in black instead of lightgrey. So my solution could possibly be CSS-based. jQuery is fine too.
This only makes the option grey in the dropdown (so after clicking the arrow):
option:first {
    color: #999;
}
Edit: The question is: how do people create placeholders in selectboxes? But it has already been answered, cheers.
And using this results in the selected value always being grey (even after selecting a real option):
select {
    color:#999;
}

Answer:

How about a non CSS - no javascript/jQuery answer?
<select>
    <option value="" disabled selected>Select your option</option>
    <option value="hurr">Durr</option>
</select>