In earlier versions of CF (4.5 and older, I believe), you did have to download an applet. But it's the same one used in a lot of the CF Administrator stuff, so if your computer's ever played in the CF Admin, chances are you already have it. It was a simple "enablecab="yes/no"" attribute used in the cfform tag, and Cold Fusion would check for the applet and prompt for a download if the user didn't have it. I'm fairly sure it's the same way in CF 5.0 and I don't know about MX.
CFFORM will also do validation on your form fields for you. Just set "required="Yes"" in your cfinput fields and it will write the javascript for you. Some people say it's great, some say it's bulky and unnecessary code. It just depends on your needs and opinions. Personally, I use it every chance I get because I don't like Javascript, but that's just me.
To do it with a standard HTML form, you really wouldn't need a custom tag. Here's another FAQ on how to do that: FAQ232-1158
But basically, it winds up being something like this:
<cfquery datasource="#datasource# name="list">
SELECT Item, Value
FROM ItemTable
ORDER BY Item
</cfquery>
<form name="item_search">
<select name="ItemMenu">
<option value="0">items:</option>
<cfoutput query="list">
<option value="#Value#">#Item#</option>
</cfoutput>
</select>
</form>
I copied and pasted the above code from the FAQ I mentioned. By the way, I think this is the same FAQ that DeZiner was talking about earilier.
Hope this helps!