This worked:
$("#theSelectId").prepend("<option value="" selected='selected'></option>");
Firebug Output:
<select id="theSelectId">
<option selected="selected" value=""/>
<option value="volvo">Volvo</option>
<option value="saab">Saab</option>
<option value="mercedes">Mercedes</option>
<option value="audi">Audi</option>
</select>
You could also use .prependTo if you wanted to reverse the order:
$("<option>", { value: '', selected: true }).prependTo("#theSelectId");