Views: Display filters as a HTML UL list of links with clean mark up
I would also go for step 3 and you really need JS for that option. Another option is, structure the links as it looks when you do a search like so..

// Merge the option name or key into the link
$link = "your-view?category=" . $select_option;
// Create the link
$somearrayforULlist[] = l($select_option, $link);


So when you click one of the links, it would reload the page and your view will use the filter values in the URL in your form.