Views in Drupal 7 is almost there. There's some things that are borked and some that are quite nice.
I have a View with exposed filters and some of these are taxonomy terms. The trouble is I couldn't figure out how to expose these and have them display as a select element. I found Better Exposed Filters which claims to fix this but at the moment it's D7 support is still being worked on. It's actively maintained though so worth keeping an eye on.
So, I was left with this still being an issue.