I really like what Bootstrap Select (http://silviomoreto.github.io/bootstrap-select/) has done.
When you tab onto the select item, and start typing, the popup automatically opens, the focus jumps to the text input and starts filtering the options. Then you can move between options with the arrow keys without moving the focus off the text input (very handy), then when you have the desired option highlighted, you can tab-out (to the next tab option) and that option is then selected.

Tab, type, filter, move between options with arrow keys, tab-out to select.