This is very annoying when you are expecting Firefox to behave the same on OS X as it does on Windows. Thankfully Apple made this into a very easy system preference.
Open up the System Preferences tool and then select Keyboard & Mouse, and then Keyboard Shortcuts.
You’ll see the section at the bottom that says “Full keyboard access”. Here’s where you can change the setting to “All controls” instead of the default.
Note that this will enable tabbing to more than just drop-down controls, so you can now tab to links on a page if you so choose.
Keyboard Method (bonus points)
Just use Ctrl+F7 to toggle this setting whenever you need to tab to a drop-down box. No need to open the preferences at all.
This little setting should make your switching experience much more friendly.