How can I set default terminal used in Unity?

For 12.04 and newer

gconf is now deprecated - http://en.wikipedia.org/wiki/GConf - and gsettings can be used in its place.

gsettings set org.gnome.desktop.default-applications.terminal exec 'terminal'

Where terminal is the command you would use to open it from the terminal.

sudo update-alternatives --config x-terminal-emulator

Only in Ubuntu 11.10 or earlier! For newer versions see LucaB answer!

Open a terminal (e.g. gnome-terminal)

Run the next command:

gconftool --type string --set /desktop/gnome/applications/terminal/exec <YOUR-TERMINAL>

e.g.:

gconftool --type string --set /desktop/gnome/applications/terminal/exec terminator

Done :).