The only difference is the negligable amount of time it takes to echo out the data.
If you only need to change the option values you can always just build it in normal html format and just embed the php tags. Like so:
<select name="choose">
<option selected value="0"><?php echo $choice_default ?></option>
<option value="1"><?php echo $choice1 ?></option>
<option value="2"><? php echo $choice2 ?></option>
<option value="3"><?php echo $choice3 ?></option>
</select>
Unless your server is either really slow or hugely burdened, you won't even notice the difference in pure html and embedded php.