Puoi fare cosi

codice:
<?php
$str = '
<option value="ag">Agrigento</option> 
<option value="al">Alessandria</option> 
<option value="an">Ancona</option> 
<option value="ao">Aosta</option> 
<option value="ar">Arezzo</option> 
<option value="ap">Ascoli Piceno</option> 
<option value="at">Asti</option> 
<option value="av">Avellino</option> 
<option value="ba">Bari</option> 
<option value="bl">Belluno</option>'; 

$pattern = "|<option[[:space:]]+value=\"([^\"]+)\"[[:space:]]*>([^<]+)<\/option>|";
preg_match_all($pattern,$str,$regs);
print_r($regs);
?>
l'array $regs[1] contiene i valori e $regs[2] i testi.

codice:
    [1] => Array
        (
            [0] => ag
            [1] => al
            [2] => an
            [3] => ao
            [4] => ar
            [5] => ap
            [6] => at
            [7] => av
            [8] => ba
            [9] => bl
        )

    [2] => Array
        (
            [0] => Agrigento
            [1] => Alessandria
            [2] => Ancona
            [3] => Aosta
            [4] => Arezzo
            [5] => Ascoli Piceno
            [6] => Asti
            [7] => Avellino
            [8] => Bari
            [9] => Belluno
        )