Why on earth would I want Num Lock *ever* to be on? There's already a perfectly good set of numbers, right above where the letters are, so *why* would I want to use the cursor control keypad for typing numbers? I need those keys for their original intended purpose. (No, don't talk to me about the duplicate keys that were added for the 101-key layout; they're arranged very badly, so that you can't reach both the arrows and pgup/pgdn/home/end without moving your hand; on the keypad, you can do it all.)
Since Num Lock wasn't an option, I voted for Caps Lock, although it's really quite a bit more useful since there is usually an option to treat it as another Ctrl key, which gives you one that's slightly easier to reach.