Yeah, you include a a pre-filled data store in your app bundle and copy it from the bundle to the documents directory as part of the app launch process - check if the data store exists and, if not, do the copy. You do this prior to accessing the Core Data stack for the first time.
There are a few ways you could do this. The lazy programmer way is to enter your default data into the app, either on the phone or in the simulator, grab the data store file, and include it in your Xcode project. The downside is it doesn't work well if you need to go back and edit the data model later.
The other option is to create an editor app on the Mac that uses the same Core Data model as your iPhone app (they're compatible) and edit the data in your Mac app. Jeff Lamarche talks a bit about this in one of his blog postings. I've done something similar, except I wrote a command line tool to download the latest data from a web site (in my case, XML data) and parse the XML into NSManagedObjects.
This StackOverflow post talks about a bit more complex option of having two data stores - one for your system data and one for your user data - and letting Core Data use both stores at runtime.