Rather than looping through an array with 26 values, or worse yet, typing out 26 lines of code, just loop through the display code 26 times.

<?php
for ($i=65; $i<=90; $i++) {
 echo chr($i);
}
?>

For those not familiar with ASCII mappings, values 65-90 represent the uppercase letters A-Z. Alternately, you could use the values 97-122 for lowercase a-z.  If you wanted to mix the two (say to display uppercase, but use lowercase in the link) just use the strtoupper() or strtolower() functions inside the loop.  Here’s a more applicable sample:

<?php
for ($i=97; $i<=122; $i++) {
 $x = chr($i);
 echo '<a href="memberlist.php?alpha=' . $x . '>' . strtoupper($x) . '</a>';
}
?>

You can see an example of both applied here.