Una <option> non ha eventi... devi utilizzare il tag <select>
codice:
<select name="personaggio"  size="1"
onchange="document.form.B1.src=this.options[this.selectedIndex].value+'.jpg'">
  <option value="--">-----------------------------</option>
  <option value="0">Anonimo</option>
<?php while($riga = mysql_fetch_array($ris)){?>
  <option value="<?php print $riga['id'] ?>"><?php print $riga['nome'] ?></option>        			  
<?php }?>
</select>
ciao