Yes there definately is
Try this
<select>
<optgroup label="Cat 01">
<option value="Some Value">Some Option</option>
<option value="Some Value">Some Option</option>
</optgroup>
<optgroup label="Cat 02">
<option value="Some Value">Some Option</option>
<option value="Some Value">Some Option</option>
<option value="Some Value">Some Option</option>
</optgroup>
</select>