prova questo
manca l'azzeramento dei select creati
codice:
<html>
<head>

  <script language="javascript">
     function creaOggetto(){
        var formObj = document.forms['formino']
        var indice = formObj.elements['seleziona'].selectedIndex;
        var valore = formObj.elements['seleziona'].options[indice].value
        for(var i= 0; i < valore; i++){
            var newElem =document.createElement("select");
            newElem.id="nuovo"+i;
            document.getElementById('formino').appendChild(newElem) 
        }
     }
  </script>
</head>
<body>
  <form action="" method="GET" name="formino">
   <select name="seleziona" onChange="creaOggetto()">
     <option value="1">1</option>
     <option value="2">2</option>
     <option value="3">3</option>
     <option value="4">4</option>
     <option value="5">5</option>
     <option value="6">6</option>
     <option value="7">7</option>
     <option value="8">8</option>
     <option value="9">9</option>
     <option value="10">10</option>                          
   </select>
  </form>
</body>
</html>