Display the Tag Cloud or the Archive directly in posts and pages, and change their look in the options.
Should be self-explanatory.
The advanced features: Please be careful with the HTML parts. The archive-format setting "options for dropdown-menu" is for people who want to setup forms. You have to add a proper form yourself - with select/post and all. Then this feature will add all archives (in the type you chose) as
Theoretically functional: from WP 1.5 (most features from: 2.5. "separator"-option from 2.9, "Tags-Order" for tags feature only from 3.5)