How can I add an “ALL CATEGORIES” entry in wp_dropdown_categories?

Should be easy to do
(check the codex: wp dropdown categories)

<h2><?php _e('Categories:'); ?></h2>
<div>
    <?php wp_dropdown_categories('show_option_all=ALL CATEGORIES&show_count=1&hierarchical=1'); ?>
</div>

p.s
if you want to wrap with translation this is the way:

<h2><?php _e('Categories:'); ?></h2>
<div>
    <?php wp_dropdown_categories('show_option_all=".__("All Categories', 'your_text_domain').'&show_count=1&hierarchical=1'); ?>
</div>