Assuming you're using a data validtion list.
The easiest least involved way:
Sort your source list and add the first letters needed:
A
Adam
Allan
Amanda
B
Becky
Ben
Bert
C
Connie
D
Danny
David
Then, in the cell with the drop down type the first letter but *don't* hit
enter, instead, click the drop arrow and the list will "scroll" to the
letter.
There are other methods that are less clunky *but* they're more involved if
you need to use the selection in a formula.