So, in a single dropdown menu, you want post titles with their categories and tags?
That sounds horribly unusable.
I could see a separate drop down for post titles, another for categories and another for tags.
However, the plugin would be quite simple to make. You could also just code it into your theme manually, doesnt need to be a plugin.
anyways, you would create the dropdown with html/css/js, call the loop and inside it, place:
<? the_title(); ?>
<? wp_list_categories(); ?>
<? the_tags(); ?>
heres where to begin with a plugin.
http://codex.wordpress.org/Writing_a_Plugin