The direct coupling of excited electronic states to optical phonons in single CdSe colloidal quantum dots is explored using both photoluminescence emission and excitation spectroscopies. We find a broad optical phonon spectrum associated with a single fine structure state. Multiple peaks in the optical phonon sideband are ascribed to different optical phonon types emanating from both the core and shell layers. A mixed emission process that involves the simultaneous generation of two different types of optical phonon is also observed. In general, rather than a single mode, each designated phonon type is associated with a dispersed family of modes. Narrow optical phonon sidebands, consistent with the dominant LO mode, are observed in some nanocrystals. A linewidth analysis indicates that optical phonon lifetimes are in the 10 picosecond range. We demonstrate the ability to selectively excite a specific band-edge state by directly exciting its LO phonon sideband.