Yes, they contain default(T) where T is the type of the value. Object references will be null.
Excerpt:
As described in Section 5.2, several kinds of variables are automatically initialized to their default value when they are created. For variables of class types and other reference types, this default value is null. However, since structs are value types that cannot be null, the default value of a struct is the value produced by setting all value type fields to their default value and all reference type fields to null.
Taken from here:
http://msdn.microsoft.com/en-us/library/aa664475(v=vs.71).aspx
I remember when studying the MOC for the certification that they explicitly state this. It is a guaranteed feature of the language.