Cosi (non testato)

codice:
<select name="pippo">
<?php
$query = "select campo1, campo2 from tabella";
$res = mysql_query($query);
while (list($campo1, $campo2) = mysql_fetch_array($res)) { ?>
 <option value="<?php print $campo1 ?>"><?php print $campo2 ?></option><?php
} ?>
</select>