<select size="1" name="custom1" onchange="save_cookie($(this).val());"><option value="0" selected="selected" >Стандартный цвет</option><option value="#32B7FF" >Небесный</option><option value="#FF757C" >Бледно-Красный</option><option value="#FFFF7F" >Бледно-Желтый</option><option value="orange" >Оранжевый</option><option value="#8CFFEB" >Голубой</option><option value="#7CFF8C" >Зелёный</option></select>

<script>
function save_cookie(data) {
  expires = new Date();
  expires.setTime(expires.getTime() + (1000 * 86400 * 365));
  set_cookie('colorchat', data, expires);
}

function get_cookie(name) {
     cookie_name = name + "=";
     cookie_length = document.cookie.length;
     cookie_begin = 0;
     while (cookie_begin < cookie_length) {
         value_begin = cookie_begin + cookie_name.length;
         if (document.cookie.substring(cookie_begin, value_begin) == cookie_name) {
             var value_end = document.cookie.indexOf(";", value_begin);
             if (value_end == -1) {
                 value_end = cookie_length;
             }
             return unescape(document.cookie.substring(value_begin, value_end));
         }
         cookie_begin = document.cookie.indexOf(" ", cookie_begin) + 1;
         if (cookie_begin == 0) {
             break;
         }
     }
     return null;
}

if(get_cookie('colorchat')) {
     //Ну а тут вы уже делайте добавление selected в option  
}
</script>

<script>   
// apo-ucoz.com/blog/2012-01-14-16
function setCookie(name, value, days) {   
    if (days) {   
    var date = new Date();   
    date.setTime(date.getTime() + (days * 24 * 60 * 60 * 1000));   
    var expires = "; expires=" + date.toGMTString();   
    }   
    else var expires = "";   
    document.cookie = name + "=" + value + expires + "; path=/";   
}   
function getCookie(name) {   
    var nameEQ = name + "=";   
    var ca = document.cookie.split(';');   
    for (var i = 0; i < ca.length; i++) {   
    var c = ca[i];   
    while (c.charAt(0) == ' ') c = c.substring(1, c.length);   
    if (c.indexOf(nameEQ) == 0) return c.substring(nameEQ.length, c.length);   
    }   
    return null;   
}   
function eraseCookie(name) {   
    setCookie(name, "", -1);   
};   
// Урок по кукам предоставлен Apocalypse (c) 2012 год   

$(document).ready(function() {
      $('select[name="custom1"]').change(function() {
          if(getCookie('color') != '0') {
              setCookie('color', $(this).val(), 365);
          };
      };);
      if(getCookie('color')) {
          $('select[name="custom1"]').val(getCookie('color')).find('option[value="' + getCookie('color') + '"]').attr('selected', 'selected');
      };
};);
</script>