<script src="https://ajax.googleapis.com/ajax/libs/jquery/1.6.2/jquery.min.js"></script>
<script type="text/javascript" >
function check_val(e) {
$('.sel').each(function(i, ele){
if(ele != e && ele.value == e.value){
//Throw an error Here <---
alert('error');
}
})
}
</script>
<select name="sel1" class="sel" onchange="javascript: check_val(this);" >
<option value="" selected="selected" >Select</option>
<option value="0" >Option 0</option>
<option value="1" >Option 1</option>
<option value="2" >Option 2</option>
<option value="3" >Option 3 </option>
<option value="4" >Option 4</option>
<option value="5" >Option 5</option>
<option value="6" >Option 6</option>
<option value="7" >Option 7</option>
</select>
<select name="sel2" class="sel" onchange="javascript: check_val(this);" >
<option value="" selected="selected" >Select</option>
<option value="0" >Option 0</option>
<option value="1" >Option 1</option>
<option value="2" >Option 2</option>
<option value="3" >Option 3 </option>
<option value="4" >Option 4</option>
<option value="5" >Option 5</option>
<option value="6" >Option 6</option>
<option value="7" >Option 7</option>
</select>