In other words, you can't just throw some random HTML into the middle of PHP code and expect PHP to know what to do with it. Another alternative is to escape out of PHP:
<OPTION SELECTED="SELECTED" VALUE="<?php echo $_GET['item_selected_style'] ?>"><?php echo $_GET['item_selected_style'] ?></OPTION>
<OPTION VALUE="Goucho Pants w/Elastic Waist">Goucho Pants w/Elastic Waist</OPTION>
<OPTION VALUE="Goucho Pants w/Draw String">Goucho Pants w/Draw String</OPTION>
<OPTION VALUE="Poncho w/Hood">Poncho w/Hood</OPTION>
<OPTION VALUE="Poncho without Hood">Poncho without Hood</OPTION>
<OPTION VALUE="Baby Bunting">Baby Bunting</OPTION>
<OPTION VALUE="Romper">Romper</OPTION>
</SELECT><BR>
Otherwise, note that devinemke not only included the HTML code inside the echo'd string but he also used a period, the concatenation operator (see: [man]language.operators.string[/man]), to join string pieces together.
EDIT: Also, when posting PHP code, please use the board's [noparse]
[/noparse] bbcode tags as they make your code much easier to read and analyze.