Please Go at this directory for changing some thing new: template/catalog/product/list/toolbar.phtml:
find code at this location default magento:
.......................................................................
<fieldset class="sort-by">
<label><?php echo $this->__('Sort by') ?></label>
<select onchange="setLocation(this.value)">
<?php foreach($this->getAvailableOrders() as $_key=>$_order): ?>
<option value="<?php echo $this->getOrderUrl($_key, 'asc') ?>"<?php if($this->isOrderCurrent($_key)): ?> selected="selected"<?php endif; ?>>
<?php echo $_order ?>
</option>
<?php endforeach; ?>
</select>
<?php if($this->getCurrentDirection() == 'desc'): ?>
<a href="<?php echo $this->getOrderUrl(null, 'asc') ?>"><img src="<?php echo $this->getSkinUrl('images/sort_desc_arrow.gif') ?>" alt="<?php echo $this->__('Set Ascending Direction') ?>" class="v-middle" /></a>
<?php else: ?>
<a href="<?php echo $this->getOrderUrl(null, 'desc') ?>"><img src="<?php echo $this->getSkinUrl('images/sort_asc_arrow.gif') ?>" alt="<?php echo $this->__('Set Descending Direction') ?>" class="v-middle" /></a>
<?php endif; ?>
</fieldset>
.........................................................
Replace this code
++++++++++++++++++++++++++++++++++++++++++++++++
<fieldset class="sort-by">
<label><?php echo $this->__('Sort by') ?></label>
<select onchange="setLocation(this.value)">
<option value="<?php echo $this->getOrderUrl('position', 'asc') ?>"<?php if($this->isOrderCurrent('position') && $this->getCurrentDirection() == 'asc'): ?> selected="selected"<?php endif; ?>>
Featured
</option>
<option value="<?php echo $this->getOrderUrl('price', 'asc') ?>"<?php if($this->isOrderCurrent('price') && $this->getCurrentDirection() == 'asc'): ?> selected="selected"<?php endif; ?>>
Lowest Price
</option>
<option value="<?php echo $this->getOrderUrl('price', 'desc') ?>"<?php if($this->isOrderCurrent('price') && $this->getCurrentDirection() == 'desc'): ?> selected="selected"<?php endif; ?>>
Highest Price
</option>
<option value="<?php echo $this->getOrderUrl('name', 'asc') ?>"<?php if($this->isOrderCurrent('name') && $this->getCurrentDirection() == 'asc'): ?> selected="selected"<?php endif; ?>>
Name A-Z
</option>
<option value="<?php echo $this->getOrderUrl('name', 'desc') ?>"<?php if($this->isOrderCurrent('name') && $this->getCurrentDirection() == 'desc'): ?> selected="selected"<?php endif; ?>>
Name Z-A
</option>
<option value="<?php echo $this->getOrderUrl('entity_id', 'desc') ?>"<?php if($this->isOrderCurrent('entity_id') && $this->getCurrentDirection() == 'desc'): ?> selected="selected"<?php endif; ?>>
Newest to Oldest
</option>
<option value="<?php echo $this->getOrderUrl('entity_id', 'asc') ?>"<?php if($this->isOrderCurrent('entity_id') && $this->getCurrentDirection() == 'asc'): ?> selected="selected"<?php endif; ?>>
Oldest to Newest
</option>
</select>
</fieldset>
++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
it will work perfectly i am sure