Alot of thought needs to be put into how to code a page. IMO coding it is the complicated part however how it should be put together is more important. Is the select box you speak of being displayed 10 times on the same page? I cant imagine why you would do this, Im sure there is a good reason. If you need the data, you need the data.
I would reccomend the good old practice of placing your recordset (RS) into an array, closing and getting rid of your connection, then use the array where you need it.
Personally - I would get annoyed with a select list containing thousands of records however do realize there is a need for this on occasion.
Wind is your friend