You should move the question to Products. "Community" is for issues with the Marketo Nation (this website) itself -- and yes, this is confusing.
This is most easily done using Visibility Rules. Add a Rich Text area and set it to be visible only when the Select value is "Other."
I wrote about a more elegant approach here: http://blog.teknkl.com/forms-add-other-option-without-new-field/
Hi Sara -
Visibility Rules can do this easily for you. Marketo's guide is here:
Note, however, that you need to include two fields on your form to use this method -- the field with your picklist values, and an additional text area field. You can then set the visibility rules for the open text field to Show If Picklist = Other.
EDIT: Also, +1 to Sanford's approach above -- from a data/instance hygiene perspective, it's always good practice to limit the amount of additional fields you create for one-off purposes like this.