This took me a few minutes to figure out, 'cause I'm dumz.
For future searchers, I'll spell it out for ya:
1. Opin your Flikr
2. Clicks on the down arrow that goes with the "Organize & Create" menu bar
3. Select "Your Sets" from this drop down menu
4. Clicks on the Set you want to modify.
5. When the Set is open, the default thumbnail will be off to the left and all the pics will be on the right.
6. Drag one of the pics from the right to the thumbnail on the left and it will replace the current default.
7. Congradluationes, you are now as awesome as me on the interwebz!

Does anyone know how to have just your Sets displayed on your main Flickr page? Seems like that'd be more logical than just your most recent downloads. Or at least, a much smaller emphasis on photostream and larger emphasis on Sets?

Actually, the options are as follows:
(with "images" referring to the photostream and "photostream" referring to whatever was most recently uploaded):
Small images only = three rows of images and no Sets
Medium images only = two rows of images and no Sets

Small + Sets - two rows of "images" and Sets crammed over to the right 25% of the page
Medium + Sets = one row of "images" and Sets crammed over to the right 25% of the page

I'd just like to see more emphasis on Sets than the offered option which crams them all in over to the right.