$opt=array ('','','','');
if (isset($_GET['opt'])) $opt[$_GET['opt']] = 'selected ';

$form = '
<form method="POST" action="" onsubmit="this.action=\'?opt=\'+this.delivery.selectedIndex" name="changeemail2"> 
	<p align="center">
	<select name="delivery"> 
		<option '.$opt['0'].'value="option1">name1</option>
		<option '.$opt['1'].'value="option2">name2</option>
		<option '.$opt['2'].'value="option3">name3</option>
		<option '.$opt['3'].'value="option4">name4</option>
	</select>
	</p>
	<input type="submit" value="Отправить"/>
</form>
';

echo $form;

<form method="POST" action="" name="changeemail2"> <p align="center"><select name="delivery">
<?php

$options = array( 'option1' => 'name1', 'option2' => 'name2','option3' => 'name3','option4' => 'name4');
$option = ( isset( $_COOKIE['formoption'] ) && $_COOKIE['formoption'] !== false ) ? $_COOKIE['formoption'] : '';
foreach( $options as $key => $value )
{
$sel = ( $key == $option ) ? 'selected' : '';
echo '<option value="' . $key . '" ' . $sel . '>' . $value . '</option>';
}

?>
</select></p>

<p align="center"><input type="submit" name="changeemail2" value="Перейти к настройке"></p></a> </form>