I had a similar issue myself and, after searching high and low, decided to take what I knew about Magento and tackle it alone.
And here's your answer:
Open: \app\code\core\Mage\Catalog\Block\Product\View\Options\Type\Select.php
Alter the following lines:
if ($_option->getType() == Mage_Catalog_Model_Product_Option::OPTION_TYPE_DROP_DOWN) {
$select->setName('options['.$_option->getid().']')
->addOption('', $this->__('-- Please Select --'));
}
To:
if ($_option->getType() == Mage_Catalog_Model_Product_Option::OPTION_TYPE_DROP_DOWN) {
$select->setName('options['.$_option->getid().']');
// ->addOption('', $this->__('-- Please Select --'))
}
Summary of changes: I commented out the ->addOption line with two forward slashes AND - and this is important - I moved the semi-colon from the end of that line to the end of the previous line. Reversing this change allows you to undo the changes you made.
When you plug that pup in, you'll see on the frontend your first custom option displaying as the default text.
Here's an example from my website, a product page for my Rugged Notebooks distribution company.