Usa este:
Código PHP:
<?php
echo "<select name=\"dia\">\n";
for ($dia=1; $dia<=31; $dia++){
if (date("j") == $dia){
echo "<option value=\"$dia\" selected>$dia</option>\n";
} else {
echo "<option value=\"$dia\">$dia</option>\n";
}
}
echo "</select>\n";
?>