[danik.js]

IE8+

<select id="city">
    <option>Город 1</option>
    <option>Город 2</option>
</select>
<script>
(function(){
    var select = document.getElementById('city');
    if (localStorage.city) {
        select.value = localStorage.city;
    }
    select.onchange = function() {
        localStorage.city = this.value;
    }
})()
</script>