Ok, things you need to do:
1. Override the 'catalog/layer_view' block to set your own template. I put my layered nav in the header area as part of a 1 column layout
<layout>
<catalog_category_layered>
<reference name="header">
<block type="catalog/layer_view" name="mylayered" template="mymodule/catalog/layer/view.phtml"/>
</reference>
</catalog_category_layered>
</layout>
In that template file you need to specify the overridden template for your individual elements.
<?php if($this->canShowBlock()): ?>
<div class="block block-layered-nav">
<div class="block-title">
<strong><span><?php echo $this->__('Shop By') ?></span></strong>
</div>
<div class="block-content">
<?php echo $this->getStateHtml() ?>
<?php if ($this->getLayer()->getState()->getFilters()): ?>
<div class="actions"><a href="<?php echo $this->getClearUrl() ?>"><?php echo $this->__('Clear All') ?></a></div>
<?php endif; ?>
<?php if($this->canShowOptions()): ?>
<p class="block-subtitle"><?php echo $this->__('Shopping Options') ?></p>
<dl id="narrow-by-list">
<?php $_filters = $this->getFilters() ?>
<?php foreach ($_filters as $_filter): ?>
<?php /* !!! HERE !!! */ ?>
<?php if(some_condition == true){ $_filter->setTemplate('path/to/your/new/filter.phtml'); } ?>
<?php if($_filter->getItemsCount()): ?>
<dt><?php echo $this->__($_filter->getName()) ?></dt>
<dd><?php echo $_filter->getHtml() ?></dd>
<?php endif; ?>
<?php endforeach; ?>
</dl>
<script type="text/javascript">decorateDataList('narrow-by-list')</script>
<?php endif; ?>
</div>
</div>
<?php endif; ?>
Finally, you need to create the drop down filter.phtml. That should be straight forward. This is poorly formatted as I am having trouble with this editor, but the general idea is here. Some Javascript will be needed as well.
<ol>
<li><select>
<?php foreach ($this->getItems() as $_item): ?>
<option value="<?php echo $this->urlEscape($_item->getUrl()); ?>">
<?php if ($_item->getCount() > 0): ?>
<a href="<?php echo $this->urlEscape($_item->getUrl()) ?>"><?php echo $_item->getLabel() ?></a>
<?php else: echo $_item->getLabel() ?>
<?php endif; ?>
<?php if ($this->shouldDisplayProductCount()): ?>
(<?php echo $_item->getCount() ?>)
<?php endif; ?>
</option>
<?php endforeach ?>
</select></li>
</ol>
catalog/layer/filter.phtml
template and change what you need to, it will be theme specific as well. The only thing you have to deal with is the selected filters bit. I'm guessing you want to show all the filter selected in the<select>
that might require adding some Block functions, because once a filter is selected the other options disappear.