How to store ajax value in php variable?

According to your code, you should use this in your select_list.php script:

$col  = $_POST['col'];
$wval = $_POST['wval'];

// now you can use those variables to save to DB, or get some data out of DB

I assume you want to have cascade <select> elements, you should change your ajaxReq() function:

function ajaxReq(col, wval) {
    // first remove all selects that are after this one
    var remove = false;
    var next   = null; // we also need to trap next select so we can fill it
    for (i in ar_cols) {
        if (ar_cols[i] == col) {
            remove = true; // from now on, remove lists
        } else if (remove) { // if ok to remove
            if (!next) {
                next = ar_cols[i]; // now we found next column to fill
            }
            if (ar_cols[i]) { // remove only non null
                removeLists(ar_cols[i]);
            }
        }
    }      
    if(wval!='- - -' && wval!='' && next) { // also if there is column after to fill
        var request   = get_XmlHttp();
        var php_file  = 'select_list.php';
        var data_send = 'col='+col+'&wval='+wval+'&next='+next; // also add next param
        request.open("POST", php_file, true);
        document.getElementById(preid+col).innerHTML = 'Loadding...';   
        request.setRequestHeader("Content-type", "application/x-www-form-urlencoded");
        request.send(data_send);
        request.onreadystatechange = function() {
            if (request.readyState==4) {
                // we fill next select
                document.getElementById(preid+next).innerHTML = request.responseText;
            }   
        }
    }
}

Your select_list.php should look something like this:

$col  = $_POST['col']; // this is just a filter for values in next <select>
$wval = $_POST['wval'];
$next = $_POST['next']; // we need to get this param or we cannot setup next <select>

// using $col and $wval variables get values from DB

echo '<select name="' . $next . '" onchange="ajaxReq(\'' . $next . '\', this.value);">';
foreach ($data as $row) {
    echo '<option ...>...</option>'; // fix this to work for you
}
echo '</select>';

// Code changed due to bug found
The ajax request should contain one more parameter (next column) since the returned <select> should have name and onchange event prepared for next, not the currently changed.
Check the code above again.