SOLUTION: Figure out that [form_select_options][1] doesn't handle #default_value at all. So I used #value property: `$form['price']['min']['#value'] = isset($_REQUEST['price']['min']) ? $_REQUEST['price']['min'] : $my_default_value;`


  [1]: http://api.drupal.org/api/drupal/includes--form.inc/function/form_select_options/6