Código PHP:
<?php
$sql="SELECT DISTINCT Categoria FROM pedimento";
mysql_select_db("assignments",$conectar);
$result = mysql_query($sql);
while($row = mysql_fetch_array($result)) { ?>
<?php while ($categoria != "") { ?>
<option value="<?php echo $row['Categoria']?>"><?php echo $row['Categoria']?>
<?php }; ?>
<?php }; ?>