Código PHP:
$options = array(
1 => 'Gato',
2 => 'Perro',
3 => 'Puma'
);
$selected_id = (isset($_POST['animal']) && isset($options[$_POST['animal']])) ? $_POST['animal'] : 2;
echo '<form method="post">';
echo '<select name="animal">';
foreach ($options as $id => $nombre)
{
echo '<option value="'.$id.'"'.($id == $selected_id ? ' selected="selected"' : '').'>'.$nombre.'</option>';
}
echo '</select>';
echo '<br />';
echo '<input type="submit" />';
echo '</form>';