There are a few ways to overcome this problem. I won't give you any specific code, just general ideas. Depending on the option you choose, I could post further information here.
1. Smart Navigation. This is something that comes with ASP.NET and works for IE browsers only. Basically it provides for some smart UI updating / scrolling so the website looks more like a desktop app. You could look into the code supplied with the .NET framework for ideas.
2. Client side caching. Depending on the dynamic nature of your data you could retrive ALL information, store them in local .js
files and use that info to build your lists dynamically. This may be a good option for country / state lists, as the number of items is rather limited.
3. Frames. You can use an (inline) frame to hold the drop down lists and nothing else. This way, you can requery new data without refreshing the whole page. The disadvantage of this however, is that it's harder to retrieve the info from the iframe than it is from other controls in your form.
4. Active X. Yak
5. Hidden frames. There are ways to requery the data in a hidden frame, and use the results for your drop downs. This way you can refresh the data without updating the screen.
There may be other ways as well, but this is all I can come up with on a Friday afternoon.
P.S. If you like one of the options; I'll be in Belgium in June for the Werchter festival....... ;)