You can also, it turns out, set the default boot volume (the volume that will boot when you don't hold the Option key down) from this screen. To set the default start-up volume, press Control and click on an arrow under the volume of your choice. When Control is pressed, the upward arrow turns into a circular arrow, denoting the persistence of the choice.
Note that I have tested this on only the newest iMac and MacBook Pro.
[robg adds: This trick did not work on my November 2006 (2.33GHz Core 2 Duo) MacBook Pro.]