To be honest I can't see how any of these are better than a corrected version of your initial pass (below)
<select id="grade" name="grade">
<option value="A"<cfif form.grade EQ "A"> selected </cfif> >A</option>
<option value="B"<cfif form.grade EQ "B"> selected </cfif> >B</option>
<option value="C"<cfif form.grade EQ "C"> selected </cfif> >C</option>
<option value="D"<cfif form.grade EQ "D"> selected </cfif> >D</option>
<option value="F"<cfif form.grade EQ "F"> selected </cfif> >F</option>
</select>
It is simple, clean and understandable.
If you just feel a need to be slicker and are going to be doing a lot of UI manipulation invest some time in jQuery. Study Ray Camden's jQuery and CF Posts and Ben Nadel's Javascript and CF Posts and soon this will be second nature...
<script type="text/javascript">
jQuery(document).ready(function() {
$("#grade option[value='<CFOUTPUT>#FORM.Grade#</CFOUTPUT>']")
.attr('selected', 'selected');
});
</script>
<select id="grade" name="grade">
<option value="A">A</option>
<option value="B">B</option>
<option value="C">C</option>
<option value="D">D</option>
<option value="F">F</option>
</select>
Sure, it's wackier looking than some of the other options here but amazingly powerful at solving problems that CF just isn't good at once you learn it (trust me, it will quickly make sense and you will wonder how you ever did client UI code without it).
Learn any of the popular JavaScript libraries and your ColdFusion client side code will become dramatically more elegant and powerful.