When using a Lookup Column on a SharePoint form, and it’s a required field, SharePoint unfortunately defaults the value on the Lookup Column, to the first field on the Lookup List. This may not be the best option when completing a form. The user may forget to select the required field, as it is already appears to be completed. A quick solution to this issue, is to add an item in the Lookup List that starts with, ‘……’ including a prompt of some sort as follows:
This item will then default as the first field that appears on the form as follows:
Views from Veronique 
Lester, thank you for the feedback and useful tip.
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You could envision users missing the selection box and ending up with the default being submitted. Easy to introduce a bit of javascript to either enforce a selection or blank the dropdown when the page loads. For large dropdowns I really like using jQuery AutoComplete.
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