Selected buttons should have checkerboard style inside, similar to that used on the scrollbar, and should have an outline of the regular color surrounding that. The image/text inside the button should also be shifted one pixel to the left, and one pixel downward. (As opposed to the two pixels to the left, and two pixels downward of pressed buttons) Attached is an image with the style visible.
This separate styling for pressed buttons gives visual feedback when you let go of the mouse button, helps to differentiate buttons that are pressed down, and also looks nice.
Note: The image/text being shifted downward and to the left is also applied when buttons are themed.
EDIT: The pixel shifting is the same pressed and selected in wordpad, but not the same in paint.