About the closest thing that excel supports is a comment.

When you hover over a cell with a comment, you'll be able to see that comment.

Insert|Comment
(to insert the comment)

And Tools|Options|View Tab|Check Comment indicator only
to see a red indicator in the top right corner of cells with a comment.

If you're really only trying to see that selected cell better, you may want to
try Chip Pearson's addin:

http://www.cpearson.com/excel/RowLiner.htm