Which button should get the focus at delete dialogs?

I thought that most destructive actions should be avoided from default actions. But when a delete dialog comes, I see that most Windows applications (even the OS), by default, set the focus at "Yes"/"Delete" button. On Mac OS X, instead, I see the following at their design guidelines:

...

Avoid providing click-through for an item or action whose result might be dangerous or undesirable. Specifically, avoid enabling click-through for an item that:

• Performs a potentially harmful action that users can’t cancel (for example, the Delete button in Mail)" ...

Which one is the best approach?