optgroup

<select name="miCampo" id="miCampo">
    <optgroup label="Extremadura">
        <option value="badajoz">Badajoz</option>
        <option value="caceres">Cáceres</option>
    </optgroup>
    <optgroup label="Aragón">
        <option value="badajoz">Huesca</option>
        <option value="teruel" selected="selected">Teruel</option>
        <option value="zaragoza">Zaragoza</option>
    </optgroup>
</select>