Add the optgroup ability to Gravity Forms default select field.

filter_gf_select_optgroup.php

/**
 * Filter Gravity Forms select field display to wrap optgroups where defined
 * USE:
 * set the value of the select option to `optgroup` within the form editor. The 
 * filter will then automagically wrap the options following until the start of 
 * the next option group
 */

add_filter( 'gform_field_content', 'filter_gf_select_optgroup', 10, 2 );
function filter_gf_select_optgroup( $input, $field ) {
    if ( $field->type == 'select' ) {
        $opt_placeholder_regex = strpos($input,'gf_placeholder') === false ? '' : "<\s*?option.*?class='gf_placeholder'>[^<>]+<\/option\b[^>]*>";
        $opt_regex = "/<\s*?select\b[^>]*>" . $opt_placeholder_regex . "(.*?)<\/select\b[^>]*>/i";
        $opt_group_regex = "/<\s*?option\s*?value='optgroup\b[^>]*>([^<>]+)<\/option\b[^>]*>/i";

        preg_match($opt_regex, $input, $opt_values);
        $split_options = preg_split($opt_group_regex, $opt_values[1]);
        $optgroup_found = count($split_options) > 1;

        // sometimes first item in the split is blank
        if( strlen($split_options[0]) < 1 ){
            unset($split_options[0]);
            $split_options = array_values( $split_options );
        }

        if( $optgroup_found ){
            $fixed_options = '';
            preg_match_all($opt_group_regex, $opt_values[1], $opt_group_match);
            if( count($opt_group_match) > 1 ){
                foreach( $split_options as $index => $option ){
                    $fixed_options .= "<optgroup label='" . $opt_group_match[1][$index] . "'>" . $option . '</optgroup>';
                }
            }
            $input = str_replace($opt_values[1], $fixed_options, $input);
        }
    }

    return $input;
}