How do you set a default pager for the MySQL client?

To force this without having to pass parameters, you can put it in your my.cnf option file, under a [client] section (note that this is on the machine you're connecting from not to).

Something like this:

[client]
user = my_usual_user
host = my_usual_host
pager = less

If you want it to apply only to the actual mysql command, and no other applications that MySQL considers to be a 'client' (utilities like mysqldump read the [client] section too), then use [mysql] instead.