The word "select" means "choose":

Which option have you selected?

"Select" is a little more formal than "choose".

It also suggests choosing something from a list or a group of options, like a menu. "Choose" can be used in the same way as "select". But you can use "choose" to talk about yes-or-no choices:

I chose not to go.

It's less common to use "select" in this kind of situation.