str="厦门,泉州,福州" 
string[] arrStr = str.split(',');
string sql = "select   *   from   table   where   shengfen   in   (";
foreach (string s in arrStr)
{
sql+="'"+s+"',";
}
sql = sql.remove(sql.length-1);
sql+=")";

------解决方案--------------------
QUOTE:str=",厦门,泉州,福州"   是这样子的  
-------------------
那就先将这个字符串去掉第一个逗号
str = str.substring(1);

------解决方案--------------------
str="厦门,泉州,福州"  
string[] arrStr = str.split(',');
string sql = "select   *   from   table   where   shengfen   in   (";
foreach (string s in arrStr)
{
sql+="'"+s+"',";
}
sql = sql.substr(sql.length-1);
sql+=")";