What about something like this :
echo '<select name="select">';
while($row=mysql_fetch_array($result))
{
echo '<option value="' . htmlspecialchars($row['column_for_value']) . '">'
. htmlspecialchars($row['column_for_label'])
. '</option>';
}
echo '</select>';
Of course, up to you to decide which items from $row should be used for the value and the text of each <option>
Just make sure you are escaping the data that comes from your DB — especially if it can contain HTML ; as you are outputting HTML, this can be done with htmlspecialchars or htmlentities.
Note that those might take a couple of additionnal parameters that I didn’t use in my example — setting those can be useful, depending on the charset you’re using.