There are a couple of ways to do this, depending upon the architecture of your website. My favorite would be to fire off a $.ajax, pull the result down, and load it into the next select. That is the most extensible, IMHO, but not the fastest for the end user. If it isn't a huge list (meaning, download speed), you could load the information into arrays or classes and use that to populate the information.
I would probably do something like this:
$("#cities option").remove();
$(citylist[$("#state").val()]).each(function() {
$("#cities").append('<option value="' + this + '">' + this + '</option>');
});
Please note, I haven't tested this, so it may not work, but I think it should send you in the write direction.
JMax