One subtle point I think I've discovered about the top voted answers is that even though they correctly change the selected value, they do not update the element that the user sees (only when they click the widget will they see a check next to the updated element).
Chaining a .change() call to the end will also update the UI widget as well.
$("#target").val($("#target option:first").val()).change();
(Note that I noticed this while using jQuery Mobile and a box on Chrome desktop, so this may not be the case everywhere).