Edit in JSFiddle

document.getElementById('MySelect').ondblclick = function(e){
    var evt = window.event || e;
    var elem = evt.srcElement || evt.target;
    alert(elem.value);
};

<select size="4" id="MySelect" name="MySelect" multiple="multiple">
    <option value="hello">hello</option>
    <option value="aoeu">aoeu</option>
    <option value="ieao">ieao</option>
    <option value=".yao">.yao</option>
</select>