HTML 4.01, Section 17.6.1 Pre-selected options spec says that if no value attribute is provided, then the value of an option is its content.
If this [value] attribute is not set, the initial value is set to the contents of the OPTION element.

HTML 2.0, Section 8.1.3.1 Option spec says that if no value attribute is provided, then the value of an option is its content.
The field value defaults to the content of the <OPTION> element. The content of the <OPTION> element is presented to the user to represent the option. It is used as a returned value if the VALUE attribute is not present.

This bug has been reported at connect's IE beta feedback as bug 348515.

Credits go to RobG for mentioning this bug in this post.

Firefox 1.x, Firefox 2.x, Opera 9.x, Safari 2, Safari 3.0.2, Seamonkey 1.x, Seamonkey 2.x, K-meleon 1.x, Konqueror 3.5.8, Galeon 2, Epiphany 2 all pass this test.