You can create drop-down lists that contain multiple levels of organization (up to 66). This is done using the same technique for organizing macros (see Organizing your macros).
The titles of your custom field options contain the categories and selection value separated by double colons, like this:
On the request form, the custom drop-down list looks like this:
As with drop-down list options that do not contain categories, your tags should be for the selection value.