A ComboBox would be prefect.

Ken Johnson

Well, it would be nearly perfect. Except that it also must be linked
to a cell, and THAT cell cannot be locked, either.

I find the best way is still a ComboBox since the validation is
stronger. Put its linked cell out of the way, in a hidden row or
column. When you lock the sheet, they won't be able to find it to do
damage. You can still reference the hidden cell.