You're going to have to make a trade-off and weigh up what is more important;
a) having accurate values.
b) having the users working on the actual tasks they're completing.
The fewer the number of values to select the lower the accuracy of the value it's reflecting, but the more values there are for selection the more often the user will have to edit it.
Do you want the users spending all their time editing the 'Percentage Complete' field? Yes, it's useful for reporting but it's going to take them away from performing the actual task.
As for how to do it; instead of a dropdown why not use the same approach that Excel uses? Select the 'Percentage' size (in Excel's case this is used for Zooming) and give them a bunch of radio buttons for quick entry, and a custom value box if they want to be accurate.