Un ejemplo sencillo:
Código PHP:
$sql="SELECT * FROM tabla";
$query=mysql_query($sql);
if(mysql_num_rows($query) != 0) {
echo "<select name=\"id\">";
while ($row = @mysql_fetch_array($query))
{
echo "<option value=\"".$row['campo']."\">".$row['campo']."</option>";
}
echo "</select>";
}