Just found this, it works for me and I personally find it easier to read.
This will set the actual index just like gnarf's answer number 3 option.
// sets selected index of a select box the actual index of 0
$("select#elem").attr('selectedIndex', 0);
This didn't used to work but does now... see bug: http://dev.jquery.com/ticket/1474
As recommended in the comments use :
$("select#elem").prop('selectedIndex', 0);