You are missing the declaration of the HTML select tag which options are his children so just add something like this:
function myplugin_inner_custom_box() {
// Use nonce for verification
wp_nonce_field( plugin_basename( __FILE__ ), 'myplugin_noncename' );
// The actual fields for data entry
echo '<label for="myplugin_new_field">';
_e("Description for this field", 'myplugin_textdomain' );
echo '</label> ';
echo '<input type="text" id="myplugin_new_field" name="myplugin_new_field"/>';
//the actual select tag
echo '<label for="my_list_field">';
_e("Description for this field", 'myplugin_textdomain' );
echo '</label> ';
echo '<select name="my_list_field" id="my_list_field">';
$s_query = new WP_Query( array(
'suppress_filters' => false,
'post_type' => 'movies'));
while($s_query->have_posts()):$s_query->the_post();
$sname = $post->post_title;
$s_output2 ='';
$s_output2 .= '<option value="'.$post->ID.'" >';
$s_output2 .= $post->post_title;
$s_output2 .= '</option>';
echo $s_output2;
endwhile ;
echo '</select>';
wp_reset_query();
}