No sé si será la mejor manera, pero funciona:
Código:
<html xmlns="http://www.w3.org/1999/xhtml">
<head>
<meta http-equiv="Content-Type" content="text/html; charset=iso-8859-1" />
<title>ejemplo</title>
<script>
function ordenar(){
vec=document.getElementById('pepe').options;
tmp=new Array();
for(i=0;i<vec.length;i++){
tmp.push(vec[i].value+'separator'+vec[i].text);
}
tmp2=tmp.sort();
document.getElementById('pepe').length=0;
for(i=0;i<tmp2.length;i++){
aux=tmp2[i].split('separator');
document.getElementById('pepe').options[i]=new Option(aux[1],aux[0]);
}
}
</script>
</head>
<body>
<form id="form1" name="form1" method="post" action="">
<select name="pepe" id="pepe">
<option value="5">cinco</option>
<option value="4">cuatro</option>
<option value="3">tres</option>
<option value="2">dos</option>
<option value="1">uno</option>
</select>
<input type="button" name="Submit" value="ordenar" onclick="ordenar()"/>
</form>
</body>
</html>