A userform combo box will do that automatically for you.
Make sure that the items you want to see in the dropdown list are stored in a column on a worksheet, for example in A1:A20 on Sheet1.
The list should be sorted in ascending order.
In the Visual Basic Editor, select Insert > UserForm.
Activate the Toolbox.
Click on the Combo Box button to select it, then click on your userform.
In the Properties pane, set the RowSource to the address of the list - Sheet1!A1:A20 in the above example.
Set the ControlSource to the address of the cell that should be filled with the selected entry (if desired, otherwise leave the ControlSource empty)
That's all!