custom control - Examples / best practices for dropdown menus with checkboxes

I'm looking for websites with good examples of a dropdown with checkboxes. I know that the gmail labels menu is one, but I'd like to see some more. General best practices are also very welcome.

Is there a good way to show the selected values on the outside? Is SHIFT ever used for continuous selection within the dropdown? Are there any other ways to provide continuous selection?

The gmail dropdown has a curious feature - when you click on the checkbox itself, it becomes selected, and the menu stays open, so as to allow the selection of additional values. But when you click on the label, and not on the checkbox itself, the checkbox becomes selected and the menu collapses. I find it mostly confusing. Pros and cons? Why not always leave it open and collapse it on loss of focus and on click on the dropdown itself?

EDIT I'll rephrase the question. The one good example of a dropdown with checkboxes that comes to mind is the Gmail labels menu. Do you know of any others that you like (in web apps?)

Answer

Here's an example on a live website: http://www.omegawatches.com/watchfinder (e.g. "features" dropdown)

I'm not sure how well this works, we could never test it unfortunately.