I'd like to allow selecting
none from a dropdown menu (web).
On the other hand, there are no labels so I would like to also let the user know what the dropdown is for.
What's a good way of achieving this?
From the UX perspective, what you are looking for is a placeholder. Placeholders are by definition non selectable.
Your real problem is how to implement the placeholder in a non-selectable way. That is beyond the scope of UX stackexchange, but this stackoverflow question shows a way to do it.
BTW having no labels in a form and relying on placeholders only is an anti-pattern so should be used with care....the Nielsen article referenced above outlines why.
One way could be to place a little [x] next to the select element
Clicking that [x] will act as select none you can see it in action in my yadcf plugin showcaes (next to each column filter - including select elements)
Another way is to do something similar to select2 plugin (placing that [x] button inside the selected element) see it action in the fifth column filter in the showcase select any element and notice how the select looks like
Third variation of the [x] button would be to show it on hover over the select element - see it in action in the following sample (scroll down to the Custom column filtering section and hover over any of the table headers
you can use a plugin like Chosen http://harvesthq.github.io/chosen/