In context with supporting text (e.g. select all that apply) may help the user to better understand action. As for styling, it's a matter of preference. But it should clearly visually indicate that selected item from unselected as is shown in example (i.e. darker blue for selected).

In context with supporting text (e.g. select all that apply) may help the user to better understand action. As for styling, it's a matter of preference. But it should clearly visually indicate a selected item from unselected as is shown in example provided in question (i.e. darker blue for selected).