I always have trouble finding this, so here it is. The if statement in the checkState() function can be replaced with anything you like to select the option by default…

<?
function checkState($state) {
  if ($row['state'] == $state) {
    echo ' selected="selected"';
  }
}
?>

<select name="state" id="state">
 <option value="--"<? checkState('') ?>>Select...</option>
 <option value="AL"<? checkState('AL'); ?>>Alabama</option>
 <option value="AK"<? checkState('AK'); ?>>Alaska</option>
 <option value="AZ"<? checkState('AZ'); ?>>Arizona</option>
 <option value="AR"<? checkState('AR'); ?>>Arkansas</option>
 <option value="CA"<? checkState('CA'); ?>>California</option>
 <option value="CO"<? checkState('CO'); ?>>Colorado</option>
 <option value="CT"<? checkState('CT'); ?>>Connecticut</option>
 <option value="DE"<? checkState('DE'); ?>>Delaware</option>
 <option value="DC"<? checkState('DC'); ?>>District Of Columbia</option>
 <option value="FL"<? checkState('FL'); ?>>Florida</option>
 <option value="GA"<? checkState('GA'); ?>>Georgia</option>
 <option value="HI"<? checkState('HI'); ?>>Hawaii</option>
 <option value="ID"<? checkState('ID'); ?>>Idaho</option>
 <option value="IL"<? checkState('IL'); ?>>Illinois</option>
 <option value="IN"<? checkState('IN'); ?>>Indiana</option>
 <option value="IA"<? checkState('IA'); ?>>Iowa</option>
 <option value="KS"<? checkState('KS'); ?>>Kansas</option>
 <option value="KY"<? checkState('KY'); ?>>Kentucky</option>
 <option value="LA"<? checkState('LA'); ?>>Louisiana</option>
 <option value="ME"<? checkState('ME'); ?>>Maine</option>
 <option value="MD"<? checkState('MD'); ?>>Maryland</option>
 <option value="MA"<? checkState('MA'); ?>>Massachusetts</option>
 <option value="MI"<? checkState('MI'); ?>>Michigan</option>
 <option value="MN"<? checkState('MN'); ?>>Minnesota</option>
 <option value="MS"<? checkState('MS'); ?>>Mississippi</option>
 <option value="MO"<? checkState('MO'); ?>>Missouri</option>
 <option value="MT"<? checkState('MT'); ?>>Montana</option>
 <option value="NE"<? checkState('NE'); ?>>Nebraska</option>
 <option value="NV"<? checkState('NV'); ?>>Nevada</option>
 <option value="NH"<? checkState('NH'); ?>>New Hampshire</option>
 <option value="NJ"<? checkState('NJ'); ?>>New Jersey</option>
 <option value="NM"<? checkState('NM'); ?>>New Mexico</option>
 <option value="NY"<? checkState('NY'); ?>>New York</option>
 <option value="NC"<? checkState('NC'); ?>>North Carolina</option>
 <option value="ND"<? checkState('ND'); ?>>North Dakota</option>
 <option value="OH"<? checkState('OH'); ?>>Ohio</option>
 <option value="OK"<? checkState('OK'); ?>>Oklahoma</option>
 <option value="OR"<? checkState('OR'); ?>>Oregon</option>
 <option value="PA"<? checkState('PA'); ?>>Pennsylvania</option>
 <option value="RI"<? checkState('RI'); ?>>Rhode Island</option>
 <option value="SC"<? checkState('SC'); ?>>South Carolina</option>
 <option value="SD"<? checkState('SD'); ?>>South Dakota</option>
 <option value="TN"<? checkState('TN'); ?>>Tennessee</option>
 <option value="TX"<? checkState('TX'); ?>>Texas</option>
 <option value="UT"<? checkState('UT'); ?>>Utah</option>
 <option value="VT"<? checkState('VT'); ?>>Vermont</option>
 <option value="VA"<? checkState('VA'); ?>>Virginia</option>
 <option value="WA"<? checkState('WA'); ?>>Washington</option>
 <option value="WV"<? checkState('WV'); ?>>West Virginia</option>
 <option value="WI"<? checkState('WI'); ?>>Wisconsin</option>
 <option value="WY"<? checkState('WY'); ?>>Wyoming</option>
</select>