Style views exposed filters options
You need each subcategory in a separate opt-group.

There is a thread about adding support for that here: Support optgroups for taxonomy selection list.

The thread includes a patch that can be applied to give this functionality.

There is also a module called Taxonomy container that looks like it also does what you want (image from module page):



I would also recommend the chosen module to further improve the select and allow additional styling changes (it converts the select to a UL).