I talked recently about how you should leave the defaults the way they are in many cases because, well, for most circumstances they are probably the best values to use. Sometimes, however, the default doesn't work that well and you need to understand the reasons why changing the default is a good thing.
Suppose you went to a web site and it asked you to fill in 10 fields. You then hit submit and it came back and told you that field number 1 is suppose to be numeric, not alphanumeric. You make the change and then submit. It then comes back and tells you that filed number 4 is suppose to be less than field number 3. You keep doing this for a number of changes until you finally say "Forget it" and you leave that site forever. It's happened to me, so I can honestly speak from experience.
My biggest problem with the process wasn't so much the one error message at a time, but rather the fact that there was a round trip to the server for every error. I had over half a dozen interactions with the server to fill out a darn form!!! By default .NET sets the controls you place on an ASP.NET page to process interactions at the server (runat="server"). If you provide complete error checking for each page, then this may be a suitable method of operating. However, if you only respond to the user one error message at a time, this is sure fired way of getting someone annoyed with you. And quickly.
To be brutally honest, some error checking should be done at the client side. If you have a popular application, or even if it is not that popular, there is still a certain amount of overhead involved in getting IIS to receive the request, process the header information, pass the information along to the application pool and then have the application do what it needs to do in order to tell you that the field is only supposed to contain numbers. Then the whole thread has to go backward, towards the user, in order to give them the message. It is faster, more efficient, and less costly from an infrastructure point of view if you let the client take care of this sort of data validation. Your application will also check when it gets the data from the client (don't ever assume the client is sending you perfect data), but many checks can be performed at the client end, decreasing turn around time for error processing, distributing the work load, and, more importantly, providing a better user experience.
Remember, when you're designing your application think in terms of what provides the best user experience. Think about your experiences, what you've liked or, more importantly, what you've disliked, and go from there. The default, while usually good, does not have to remain if there is a good reason to change.