I use nested while loops. Run a query to select all the values from your initial list, and within that loop select all the values in your second list where a value from your initial list is found.

Rough PHP code (not tested):

$query="select state from states";
$result=mysql_query($query);
while($row=mysql_fetch_assoc($result)) { 
extract($row); //turns state into a variable $state
$query2="select city from cities where state='$state'";
$result2=mysql_query($query2);
while($row=mysql_fetch_assoc($result2) {
extract($row2);
echo "$city, $state<BR>";
} //end of city while loop
} //end of state while loop

There might be a way to use a subquery which would be faster and require far less code but would be more restrictive. Depends on the output you need.

MySQL has a FIND_IN_SET function that may work for you. There are a few examples and example thread links listed in these past discussions:

[webmasterworld.com...]
[webmasterworld.com...]

or you may be able to use a CASE structure of sorts, something along these lines

[webmasterworld.com...]