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In earlier days, people were using them just to show off their newly acquired javascript savvy - and it drove me nuts because I couldn't see what my choices were just by looking at the page. I felt like a prisoner!
But used well, and for a supporting purpose (a list of references, clearly labeled as such, for instance) it can decrease page clutter and help usability.
<form method="post" action="" onsubmit="return false;">
<select class="select" onchange="location.href=this.value;">
<option value="/optimization/">Test link one</option>
<option value="/database/">Test link two</option>
<option value="/contact/">Test link three</option>
<option value="/design/">Test link four</option>
<option value="/articles/">Test link five</option>
<option value="/about/">Test link six</option>
</select></p>
</form>
Nick