Yii Dropdown List Empty Value as Default

Read documentation. There is 'prompt' parameter.

Try this:

<?php
    echo $form->dropDownList($model,'country_id',Country::items(), array(
        'prompt' => '--Select a country--'
    ));
?>

See more details here http://www.yiiframework.com/forum/index.php/topic/11195-how-to-edit-the-default-option-in-dropdownlist/

Are you sure that country_id property of your model is not set to anything when you print the dropdown list? The following works for me if $model instance is created using new Country() operator but not by populating properties from database:

<?php echo $form->dropDownList(
    $model,
    'country_id',
    Country::items(),
    array(
        'empty'=>'--Select a country--')
    );
?>