The frequency selector menu has been implemented for a long time now however, there are still people who don't know such a feature exists. The problem is that it uses a helper program that has to be installed with the suid bit enabled and it seems that some distros don't do that by default.

Now that PolicyKit has been proposed as an external GNOME dependency, I've decided to give it a try. Yesterday I committed a patch to gnome-applets to use PolicyKit (when it's available) in the cpufreq applet, so that we don't need to enable the suid bit in cpufreq-selector anymore. The selector menu will be always available by default now. An authentication dialog, provided by PolicyKit-gnome, will pop up when a non-admin user tries to use the selector menu.

PolicyKit-gnome authentication dialog

Don't worry too much about the annoying popup dialog, since the authentication can be remembered forever, so that if you want, you will only see this popup dialog the first time.