try this, tested working..
No need to apply jquery to an existing jquery object
<html lang="en-US">
<head>
<script src="jquery.min.js"></script>
<script>
$(function () {
var ddlValidation = $("<select id='ddlValidation'/>");
ddlValidation.append("<option value=1>" + "Value1" + "</option>");
ddlValidation.append("<option value=2>" + "Value2" + "</option>");
ddlValidation.append("<option value=3>" + "Value3" + "</option>");
ddlValidation.append("<option value=4>" + "Value4" + "</option>");
ddlValidation.val(2);
$('#divmain').append(ddlValidation);
});
</script>
</head>
<body>
<div id="divmain">
</div>
</body>
</html>