Using the menu option File -> Use Settings As Defaults of the Terminal program included with Mac OS X will do as it says and saves default color, window size etc. but also execute the command you have active at that moment. Everytime you start up Terminal or launch a New Shell.
In my case I had an SSH session active when I thought to lock it to a certain window size by default. And from then on, Terminal tried to make an SSH connection everytime a new shell was opened or Terminal was started. Looking through all the options of Terminal -> Preferences or Terminal -> Window Settings... didn't show any place where SSH was started.
With a few searches via Google I stumbled upon MacNN Forums where a fix was provided for this issue.
Start Terminal, and cancel what ever Terminal automatically runs with Ctrl-c so that you're back in the standard shell. Then copy the appropriate line below and paste it into the Terminal window and press the Enter key.
defaults write com.apple.Terminal ExecutionString ""
rm ~/Library/Preferences/com.apple.Terminal.plist