Jeffrey Olchovy has posted a simple tutorial on using jQuery to solve a "select-to-input toggle" that shows and hides a text field when you select "Other". It overloads the same form name, so the server side gets just one value, and doesn't know or care if it was in the drop down or typed in. You can try it live here.

This is a simple little solution to the issue that there isn't a native control to really do the job. What you really probably want here is the ability to drop down and select items, or just type into the select box field itself. This is one reason why people implement auto-complete text fields instead of using select boxes for this case, but wouldn't it be nice to be able to tag your <select> and be done?