Every text component in the application should select text on focus gained to allow user to replace content in the fastest way. The following singleton class solves the problem:
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import java.awt.event.FocusEvent;
import java.awt.event.FocusListener;
import javax.swing.text.JTextComponent;

public final class SelectTextOnFocus
        implements FocusListener {

    private static final SelectTextOnFocus instance = new SelectTextOnFocus();

    public static SelectTextOnFocus instance() {
        return instance;
    }

    private SelectTextOnFocus() {
    }

    public void focusGained(FocusEvent event) {
        Object source = event.getSource();
        if (source instanceof JTextComponent) {
            JTextComponent text = (JTextComponent) source;
            text.selectAll();
        }
    }

    public void focusLost(FocusEvent event) {
    }
}
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This solution does not work with JFormattedTextField, because user's listeners is notified before the reformat is started:
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public class JFormattedTextField extends JTextField {
    ...
    protected void processFocusEvent(FocusEvent e) {
        super.processFocusEvent(e);
        ...
        if (isEdited() && e.getID() == FocusEvent.FOCUS_LOST) {
            ...
        }
        else if (!isEdited()) {
            // reformat
            setValue(getValue(), true, true); // THIS REFORMAT REMOVES TEXT SELECTION !!!
        }
    }
    ...
}
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So the instance of the SelectTextOnFocus can't be used to provide required functionality. This functionality requires subclassing of the JFormattedTextField that is annoing:
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JFormattedTextField text = new JFormattedTextField(formatter) {
    @Override
    protected void processFocusEvent(FocusEvent event) {
        super.processFocusEvent(event);
        if (!e.isTemporary() && (FocusEvent.FOCUS_GAINED == event.getID())) {
            selectAll();
        }
    }
};
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