Edit in JSFiddle

var MySelect = React.createClass({
    render: function(){
        var mySelectStyle = {
            border: '1px solid #999',
            display: 'inline-block',
            padding: '5px'
        };
        return (
            <div style={mySelectStyle}>
                <MyOption value="Volvo"></MyOption>
                <MyOption value="Saab"></MyOption>
                <MyOption value="Mercedes"></MyOption>
                <MyOption value="Audi"></MyOption>
            </div>
        );
    }
});

var MyOption = React.createClass({
    render: function(){
        return <div>{this.props.value}</div>; //react div element, via JSX
    }
});

ReactDOM.render(<MySelect />, document.getElementById('app'));

<div id="app"></div>