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
