1. Close Diablo III and open the launcher, click the little arrow up the top left and select 'Settings':

http://i.imgur.com/I8FcagD.jpg

2. In the new window select 'Game Settings':

http://i.imgur.com/QO5GEw3.jpg

3. Tick the box for 'Additional command line arguments' and in the new command line put the following:

If you want to always connect to the ANZ Server:
OnlineService.Matchmaking.ServerPool=AU1

If you want to always connect to the US Server:
OnlineService.Matchmaking.ServerPool=Default

So it should look like this: http://i.imgur.com/ogjHSef.jpg

Click 'Done' and run Diablo III, BAM done! It's that simple.
IT helps me alot  and i bet once u connected to ANZ server ... u dont even wanted to connect to the default US server LOL