I came across this problem today and wanted to share my solution.
I have a ComboBox that has an ArrayCollection containing Objects as it's dataprovider. When the application runs, it uses a RemoteObject to go out and get the ArrayCollection/Objects. In my event handler for that call I just have it append another object to the beginning of the ArrayCollection and select it:
var defaultOption:Object = {MyLabelField: "Select One"};
myDataProvider.addItemAt(defaultOption, 0);
myComboBox.selectedIndex = 0;
This is what my ComboBox looks like for reference:
<mx:ComboBox id="myComboBox" dataProvider="{myDataProvider}" labelField="MyLabelField" />