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

//创建获取ajax核心对象的函数
  function getXhr(){
   var xhr = null;
   if(window.XMLHttpRequest){
    xhr = new XMLHttpRequest();
   }else{
    xhr = new ActiveXObject("Microsoft.XMLHttp");
   }
   return xhr;
  }
  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 province=document.getElementById("province");
  province.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("state=2&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);
      }
     }
    }
   }
  };

<?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;
  }
 }
?>