After creating a new form go to Form Editor view and do the following:

1.) Create a radio button or drop down field.

2.) Click "show values" to the right of the choices area.

3.) Clear or delete the "Select One" or "Please Choose One" option's value. This value must be left blank.

4.) The other values should be auto-filled or set to your desired value. Typically this is easiest to leave auto-filled based on the label text. 

5.) Lastly, make sure the field is marked as required, test, and this should not pass validation until a user selects an option that has a value.

See screenshot for a sample setup.