I haven’t tried this but I would think it would work.
1. Make sure the option you want selected is at the top of the list (using Position in Manage/Label Options of the Attribute options)
2. copy app\design\frontend\default\default\template\catalog\product\view\super\config.phtml into your template
3. remove (or option out) the line <option><?=$this->__('Choose an Option...')?></option> in the copied file.
Would love to know for sure if this works for you.
ps - this will mean that all of your options will default to the top one in the list.