Lack of uniformity 
With a button. Traditionally, a drop-down is a list that the user has to "pull down" or "open" to see all the possibilities. The user can then choose one of these possibilities and confirm his choice by clicking a button, like on the site of the ING Group. This is the case in every traditional software program since the existence of graphical interfaces. 
Without a button. The problem on the internet is that a lot of sites leave out the "activation button" and use the drop-down as a sort of command menu that immediately initiates the action once the user has made his selection, like the drop-down on the homepage of Massive. Since even experienced users sometimes accidentally select the wrong item, this is far from ideal. Because the user is immediately sent away, he doesn't have the possibility to correct his mistake, which a lot of users find quite irritating.
Confusing. Because there are drop-downs with and without an activation button, a lot of users get confused and sometimes they don't know what to do anymore. Some users, especially those with little computer experience outside of the Internet, select an item and expect the drop-down to immediately take them where they want to go, forgetting to click the activation button and sometimes even going so far as to assume that the drop-down doesn't work. Other users are taken aback when a drop-down acts like a command menu and takes them somewhere as soon as they've made a selection; they expect an activation button.

Convincing arguments? The most important arguments web designers give for using drop-downs are the conservation of screen space and the immediate overview of a long list of possibilities a drop-down can provide. Although it certainly is the case that an "inactive" drop-down takes up less space than for example a list of text links or a series of radio buttons, the argument that a drop-down provides users with an immediate overview of all the possibilities isn't quite true. An inactive drop-down doesn't offer the user an overview of all the possibilities at all. The user has to click on the little arrow at the right side of the drop-down and open the list to see what the different options are. When the list is very long, chances are the user has to scroll as well. (Like it is the case on Vlaanderen.be.)

Alternative
What is more, users much prefer a short, clear overview of the most important possibilities than a lengthy list of all the possibilities. When a drop-down is used as a command menu offering an overview of a site or category's different (sub)divisions, it is better to replace it by a list of text links (preferably in two or three columns) in which the most important items are listed instead of all of them. That way, the user really does have an immediate overview of the options. Substituting the drop-down with a list also takes care of the "to have or not to have an activation button" dilemma. In forms, drop-downs are perfectly acceptable because a user has to confirm his choice by clicking the button to send the form. Take care not to use drop-downs for your own convenience though but always think about what is most handy for the user.

Els Aerts & Karl Gilis

A more in depth version of this article has appeared in Tips & Advies Online Ondernemen, year 6, number 6 (Belgium and the Netherlands).