Just combined the script on: https://github.com/AndrewIngram/jquery-select-hierarchy with some custom code to have a working multi-step taxonomy select widget.

First, I added an exposed filter for the vocabulary I want. I selected "Dropdown" as the selection type and marked "Show hierarchy in dropdown". Now I have a select list like that:

Cat 1
-Subcat 11
-Subcat 12
Cat 2
-Subcat 21
-Subcat 22

Then I added custom javascript as a global text area to the header of that view with input type PHP. Things to be careful:

1. Change this:#edit-field-country-city-tid option with your select list's id.
2. Change this:.form-item-field-country-city-tid select with your select list's class.
3. This method doesnt work for 3 or more level hierarchies but it should be easy to modify the code to achieve this.
4.Hide the original select list with CSS.

<script type="text/javascript">
(function ($) {
$(document).ready(function() { 

var $groupedOptionList = $("#edit-field-country-city-tid option");
var groupedItemList = [];
var lastParentChildIndex = 0;
var lastParentIndex = 0;
$groupedOptionList.each(function(index, item) {
    var itemText = $(item).text();
    var splitterCount = itemText.match(/\-/g) === null ? 0 : itemText.match(/\-/g).length;
    // root item
    if (splitterCount === 0) {
        groupedItemList[index] = {
            text: itemText,
            children: []
        };

        lastParentIndex = index;
        $(item).text(groupedItemList[lastParentIndex].text);
    }
    //  first child        
    else if (splitterCount === 1) {
        groupedItemList[lastParentIndex].children.push({
            text: itemText,
            children: []
        });
        lastParentChildIndex = groupedItemList[lastParentIndex].children.length - 1;
        $(item).text(groupedItemList[lastParentIndex].text + " > "+ groupedItemList[lastParentIndex].children[lastParentChildIndex].text.substring(1));
    }

});

$.fn.selectHierarchy = function(options) {
        var defaults = {
            separator: ' > ',
            hideOriginal: true,
            placeholder: '------'
        };
        var options = $.extend(defaults, options);
        var obj = $(this);
        var max_depth = 1;

        var choices = obj.find('option').map(function(){
            var val = $(this).val();

            if (val) {
                var txt = $(this).text();
                var segments = txt.split(options.separator);
                var depth = segments.length;

                if (depth > max_depth) {
                    max_depth = depth;
                }

                var result = {
                    label: txt,
                    short_label: segments[depth-1],
                    value: val,
                    depth: depth,
                    children: []
                };

                return result;
            }
        });

        var roots = [];

        // Build up child values
        for (var depth=1; depth<=max_depth; depth++) {
            $.each(choices, function() {
                var parent = this;

                if (parent.depth==depth) {
                    if (depth===1) {
                        roots.push(this);
                    }

                    $.each(choices, function() {
                        var child = this;
                        if (child.depth == depth+1 && child.label.match("^"+parent.label)==parent.label) {
                            parent.children.push(child);
                        }
                    });
                }
            });
        }

        if (options.hideOriginal) {
            obj.hide();
        }
        obj.wrap('<span class="drilldown-wrapper" />');
        obj.after('<select class="drilldown-1"><option value="">' + options.placeholder + '</option></select>');
        var root_select = obj.next();
                       
        root_select.data('depth', 1);
                            
        $.each(roots, function(){
            var opt = $('<option>');
            opt.val(this.value);
            opt.text(this.short_label);
            opt.data('node', this);
            root_select.append(opt);
        });
                                
        var change_handler = function(){
            var this_select = $(this);
            var opt = this_select.find('option:selected');
            var node = opt.data('node');
       
            if (this_select.val()) {
                obj.val(this_select.val());
            } else if (this_select.data('depth') > 1) {
                obj.val(this_select.prev().val());
            } else {
                obj.val('');
            }
               
            this_select.nextAll('select').remove();
                       
            // Check to see if there's any children, if there are we build another select box;
            if (node && node.children.length > 0) {
                this_select.after('<select><option value="">' + options.placeholder +'</option></select>');

                var next_select = this_select.next();
                next_select.addClass('drilldown-' + (node.depth + 1));
                next_select.data('depth', node.depth + 1);

                $.each(node.children, function(){
                    var opt = $('<option>');
                    opt.val(this.value);
                    opt.text(this.short_label);
                    opt.data('node', this);
                    next_select.append(opt);
                });
                next_select.change(change_handler);
}
        }
        root_select.change(change_handler);
    };

$('.form-item-field-country-city-tid select').selectHierarchy({ hideOriginal: false });

});
})(jQuery);
</script>