<select name="county">
    <optgroup label="England">
        <option>Bedfordshire</option>
        <option>Berkshire</option>
        <option>Bristol</option>
        <option>Buckinghamshire</option>
        <option>Cambridgeshire</option>
        <option>Cheshire</option>
        <option>City of London</option>
        <option>Cornwall</option>
        <option>Cumbria</option>
        <option>Derbyshire</option>
        <option>Devon</option>
        <option>Dorset</option>
        <option>Durham</option>
        <option>East Riding of Yorkshire</option>
        <option>East Sussex</option>
        <option>Essex</option>
        <option>Gloucestershire</option>
        <option>Greater London</option>
        <option>Greater Manchester</option>
        <option>Hampshire</option>
        <option>Herefordshire</option>
        <option>Hertfordshire</option>
        <option>Isle of Wight</option>
        <option>Kent</option>
        <option>Lancashire</option>
        <option>Leicestershire</option>
        <option>Lincolnshire</option>
        <option>Merseyside</option>
        <option>Norfolk</option>
        <option>North Yorkshire</option>
        <option>Northamptonshire</option>
        <option>Northumberland</option>
        <option>Nottinghamshire</option>
        <option>Oxfordshire</option>
        <option>Rutland</option>
        <option>Shropshire</option>
        <option>Somerset</option>
        <option>South Yorkshire</option>
        <option>Staffordshire</option>
        <option>Suffolk</option>
        <option>Surrey</option>
        <option>Tyne and Wear</option>
        <option>Warwickshire</option>
        <option>West Midlands</option>
        <option>West Sussex</option>
        <option>West Yorkshire</option>
        <option>Wiltshire</option>
        <option>Worcestershire</option>
    </optgroup>
    <optgroup label="Wales">
        <option>Anglesey</option>
        <option>Brecknockshire</option>
        <option>Caernarfonshire</option>
        <option>Carmarthenshire</option>
        <option>Cardiganshire</option>
        <option>Denbighshire</option>
        <option>Flintshire</option>
        <option>Glamorgan</option>
        <option>Merioneth</option>
        <option>Monmouthshire</option>
        <option>Montgomeryshire</option>
        <option>Pembrokeshire</option>
        <option>Radnorshire</option>
    </optgroup>
    <optgroup label="Scotland">
        <option>Aberdeenshire</option>
        <option>Angus</option>
        <option>Argyllshire</option>
        <option>Ayrshire</option>
        <option>Banffshire</option>
        <option>Berwickshire</option>
        <option>Buteshire</option>
        <option>Cromartyshire</option>
        <option>Caithness</option>
        <option>Clackmannanshire</option>
        <option>Dumfriesshire</option>
        <option>Dunbartonshire</option>
        <option>East Lothian</option>
        <option>Fife</option>
        <option>Inverness-shire</option>
        <option>Kincardineshire</option>
        <option>Kinross</option>
        <option>Kirkcudbrightshire</option>
        <option>Lanarkshire</option>
        <option>Midlothian</option>
        <option>Morayshire</option>
        <option>Nairnshire</option>
        <option>Orkney</option>
        <option>Peeblesshire</option>
        <option>Perthshire</option>
        <option>Renfrewshire</option>
        <option>Ross-shire</option>
        <option>Roxburghshire</option>
        <option>Selkirkshire</option>
        <option>Shetland</option>
        <option>Stirlingshire</option>
        <option>Sutherland</option>
        <option>West Lothian</option>
        <option>Wigtownshire</option>
    </optgroup>
    <optgroup label="Northern Ireland">
        <option>Antrim</option>
        <option>Armagh</option>
        <option>Down</option>
        <option>Fermanagh</option>
        <option>Londonderry</option>
        <option>Tyrone</option>
    </optgroup>
</select>

http://www.addedbytes.com/tools/uk-counties-select-box/

HTML UK Counties Select Box

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