This uses HTML::TokeParser::Simple which makes the syntax a bit easier

#!/bin/perl5

use strict;
use warnings;
use HTML::TokeParser::Simple;

my $select;
{
  local $/;
  $select = <DATA>;
}

my $tp = HTML::TokeParser::Simple->new(\$select)
    or die "Couldn't parse string: $!";

  my ($start, @states);    
  while (my $t = $tp->get_token) {
    $start++, next if $t->is_start_tag('select');
    next unless $start;
    last if $t->is_end_tag('/select');
    push @states, $t->get_attr('value') if $t->is_start_tag('option');
  }
  
print "$_\n" for @states;

__DATA__
<select name=market onChange="setCookie(this.name,this.selectedIndex)"
+>
<option value=Chicago>Chicago
<option value=Wisconsin>Wisconsin
<option value=Indiana>Indiana
</select>
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