Хан,
<!DOCTYPE html>
<html>
<head>
<title>Untitled</title>
<meta charset="utf-8">
<style type="text/css">
</style>
<script src="https://ajax.googleapis.com/ajax/libs/jquery/1.12.4/jquery.min.js"></script>
<script>
$(function() {
$("[name='country']").on("change", function() {
$.get("script_3.php", {country: this.value}, function (data) {
$("select[name='city']").empty();
for (var id in data)
$("select[name='city']").append($("<option value='" + id + "'>" + data[id] + "</option>"));
});
});
});
</script>
</head>
<body>
<label>Страна:</label>
<select name="country">
<option value="0" selected="selected"></option>
<option value="1">Россия</option>
<option value="2">Украина</option>
</select>
<br />
<label>Город:</label>
<select name="city">
<option value="0"></option>
</select>
</body>
</html>