Código PHP:
$consulta= mysql_query("SELECT id, campo FROM tabla ORDER BY campo ASC");
<SELECT NAME="campo" id="campo">
<option value="" selected>---> Seleccione una opción---></option>
<? while ($row = mysql_fetch_row($consulta)) { ?><option value='<?=$row[0]?>'><?=$row[1]?></option><? }?></select>