For Monthly and Category Archives. For Daily -- you'd just change the type to Daily -- be sure you've got Daily archives turned on -- and wala.
CODE
<form>
<select onChange="document.location=options[selectedIndex].value;">
<option value="">Monthly Archives</option>
<MTArchiveList archive_type="Monthly">
<option value="<$MTArchiveLink$>"><$MTArchiveTitle$></option>
</MTArchiveList>
</select>
<br><br>
<select onChange="document.location=options[selectedIndex].value;">
<option value="">Categories</option>
<MTArchiveList archive_type="Category">
<option value="<$MTArchiveLink$>"><$MTArchiveTitle$></option>
</MTArchiveList>
</select>
</form>