If you look at vista, you'll see that Microsoft thinks the answer is "no" - many vista TBs contain some text in grey to indicate what the user should do with that textbox.
Perhaps the best example I've seen is <to change the saved password, click here> in dial up networking.. it neatly obscures the length of the password, shows that windows has one set already, and tells the user what will happen if they type in the box.. I'm still not sure why defy the established convention of ****** but then again, that DOES reveal the password length (unless it's deliberately set to a number of stars other than the lenght, in order to obscure the length, but then leading to the confusion "gosh, is my password really that long? i wonder what it could be..")
I think the --Please Select-- has come about from back-transition from web pages, an environment where it was more important that the user got things right first time to avoid slow progress through forms. I can see its merits in a GUI app, because users generally need as much help as possible to know the minimum of effort they have to put in to achieve their goal