Edit in JSFiddle

$(function() {
    var compiled = _.template($("#templ").html());
    $("#select2Me").html(compiled({
        prodSet1: [
            'prod1',
            'prod2',
            'prod3'],
       prodSet2: [
            'planprod1',
            'planprod2',
            'planprod3']
    }));
  $("#select2Me").select2({
        minimumInputLength: 3,
        placeholder: 'Search'
  });
});

<select id="select2Me" style="width:300px" data-init-text='Search'></select>
<script type="text/template" id="templ">
<select>
<optgroup label="Product Set 1">
  <% _.each(prodSet1,  function(product) { %>
    <option><%= product %></option>
  <% }); %>
</optgroup>
  <optgroup label="Product Set 2">
  <% _.each(prodSet2,  function(product) { %>
    <option><%= product %></option>
  <% }); %>
</optgroup>
</select>
</script>