How about
$('select>option:eq(3)').attr('selected', true);
example at http://www.jsfiddle.net/gaby/CWvwn/
for modern versions of jquery you should use the .prop()
instead of .attr()
$('select>option:eq(3)').prop('selected', true);
example at http://jsfiddle.net/gaby/CWvwn/1763/