Here is an example of an official example for setting up a UIPicker view: http://developer.apple.com/library/ios/#samplecode/UICatalog/Introduction/Intro.html
In particular, refer to the PickerViewController classes. {h, m}, CustomPickerDataSource. {h, m} and CustomView. {h, m} in the example. You can create a similar custom UIPickerView with a tick image that appears only on the left for the selected item and changes the text color of the selected item. Also, be sure to set myPickerView.showsSelectionIndicator = NO; to remove the translucent panel above the selected item.
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