<select id="province">
 <option>请选择</option>
 </select>
 <select id="city">
 <option>请选择</option>
 </select>

<script> 
 var xhr = getXhr(); 
 // 第一次执行Ajax异步请求 - 省份 
 window.onload = function(){ 
  xhr.open("get","finaly.php?state=1"); 
  xhr.send(null); 
  xhr.onreadystatechange = function(){ 
  if(xhr.readyState==4&&xhr.status==200){ 
    var data = xhr.responseText; 
    // 将字符串转换为数组 
    var provinces = data.split(","); 
    // 遍历数组 
    for(var i=0;i<provinces.length;i++){ 
     // 创建option元素添加到id为province元素上 
     var option = document.createElement("option"); 
     var text = document.createTextNode(provinces[i]); 
     option.appendChild(text); 
     var province = document.getElementById("province"); 
     province.appendChild(option); 
    } 
   } 
  } 
 } 
 // 第二次执行Ajax异步请求 - 城市 
 var provinceEle=document.getElementById("province"); 
 provinceEle.onchange = function(){ 
  var city = document.getElementById("city"); 
  var opts = city.getElementsByTagName("option"); 
  for(var z=opts.length-1;z>0;z--){ 
   city.removeChild(opts[z]); 
  } 
   
  if(province.value != "请选择"){ 
   xhr.open("post","finaly.php"); 
   xhr.setRequestHeader("Content-Type","application/x-www-form-urlencoded"); 
   xhr.send("province="+province.value); 
   xhr.onreadystatechange = function(){ 
    if(xhr.readyState==4&&xhr.status==200){ 
     var data = xhr.responseText; 
     var cities = data.split(","); 
     for(var i=0;i<cities.length;i++){ 
      var option = document.createElement("option"); 
      var text = document.createTextNode(cities[i]); 
      option.appendChild(text); 
       
      city.appendChild(option); 
     } 
    } 
   } 
  } 
 
 } 
 
 function getXhr(){ 
  var xhr = null; 
  if(window.XMLHttpRequest){ 
   xhr = new XMLHttpRequest(); 
  }else{ 
   xhr = new ActiveXObject("Microsoft.XMLHttp"); 
  } 
  return xhr; 
 } 
 </script>

<?php 
 // 接收客户端发送的请求数据 - state 
 $state = $_REQUEST['state']; 
 // 判断$state的值 
 if($state == 1){// 获取省份 
  echo '山东省,辽宁省,吉林省'; 
 }else{// 获取城市 
  $province = $_POST['province']; 
  switch ($province){ 
   case '山东省': 
    echo '青岛市,济南市,威海市,日照市,德州市'; 
    break; 
   case '辽宁省': 
    echo '沈阳市,大连市,铁岭市,丹东市,锦州市'; 
    break; 
   case '吉林省': 
    echo '长春市,松原市,吉林市,通化市,四平市'; 
    break; 
  } 
 } 
?>