$('.mySelect').change(function(index, elem){
    var myFilter = $(this).val();
    if(myFilter !="selectOne"){
        var size = $('.qSelect').not(this).not(function(index){
        return $(this).val() != myFilter;
    }).size();
        if(size > 0){
            alert("already selected.");
        } else {
            // do something
        }
    }
});

<select name="select1" class="mySelect">
    <option value="selectOne">Select one</option>
    <option value="1">Option 1</option>
    <option value="2">Option 2</option>
    <option value="3">Option 3</option>
</select>

<select name="select2" class="mySelect">
    <option value="selectOne">Select one</option>
    <option value="1">Option 1</option>
    <option value="2">Option 2</option>
    <option value="3">Option 3</option>
</select>

<select name="select3" class="mySelect">
    <option value="selectOne">Select one</option>
    <option value="1">Option 1</option>
    <option value="2">Option 2</option>
    <option value="3">Option 3</option>
</select>

$('.mySelect').bind('change', function(el) {

    var _this = $(this),
        newVal = _this.val();
    $('select.mySelect:not([name=' + _this.attr('name') + '])
            option[value=' + _this.data('oldVal') + ']').attr('disabled', false);
    $('select.mySelect:not([name=' + _this.attr('name') + '])
            option[value=' + newVal + ']').attr('disabled', true);
    _this.data('oldVal', newVal);

});