How can I change the default properties of Visio's connector tool?

1. Open your diagram

2. Menu -> File -> Shapes -> Show Document Stencil.

   New Stencil window shows up in left of screen, with lots of shapes!)

3. Select the "Dynamic Connector"!

4. Right mouse-click -> Edit Master -> Edit Master Shape

   Master Shape is opened for editing.

5. Change the Line Colour, Line Thickness, Arrow Type etc!

6. Close the Master Shape.

   You will be asked, do you want to save and update all linked items.

Notice: If you say yes, this will change the format of all of the connectors that were created using the "Dynamic Connector" This worked for me in VISIO 2007, and is not the general DEFAULT, but the default for the current document you are working on. I am guessing it can also be applied to the standard visio template, but I have not attempted that.

This is how you do it in 2010 Visio:

Go to your shapes fold out pane, mine is on the left.

Click on Document Stencil. It may be hidden so expand the listing area or scroll down if needed. You may need to click More Shapes -> Show Document Stencil.

The rest is the same as one of the other answers here for 2007:

Right click on your Dynamic connector > Edit Master > Edit Master Shape. Click on the line to select it. Then change what you will! Make sure to save your changes.

Visio 2013 and later use Themes to define the default connector. Here's how to change the Theme that affects the default connector (the one used when choosing the Connector tool on the ribbon or by pressing CTRL+3). This affects the current document only:

1. Add the Define Styles command to the ribbon (it's not there by default):

   a. In the File menu choose Options then select Customize Ribbon in the left pane.

   b. You need a custom group in which to add the command, so below Customize the Ribbon select the entry for the Design tab then click New Group.
   

   b. In the Choose commands from: dropdown select Commands Not in the Ribbon.

   d. Find the command Define Styles.... Select the custom group you added in step b, then click Add > >.
   

   e. click OK to close Visio Options.

2. Back in the main application, on the Design tab of the ribbon in the New Group group click Define Styles.
   

3. In the dialog box, in the Name: drop down select Connector. In the Based on: drop down select Theme. Then click Shape....
   

4. Make the desired changes. In my case, I removed the arrow from the end of the connector that was being added by the document template I had chosen.

5. Click OK to close the dialogs and you're done!

Thanks to poster jynlmb in this thread on Microsoft's Visio forum for pointing me in the right direction to discover this.