Use the valgrind option --track-origins=yes to have it track the origin of uninitialized values. This will make it slower and take more memory, but can be very helpful if you need to track down the origin of an uninitialized value.
Update: Regarding the point at which the uninitialized value is reported, the valgrind manual states:
It is important to understand that your program can copy around junk (uninitialised) data as much as it likes. Memcheck observes this and keeps track of the data, but does not complain. A complaint is issued only when your program attempts to make use of uninitialised data in a way that might affect your program’s externally-visible behaviour.
From the Valgrind FAQ:
As for eager reporting of copies of uninitialised memory values, this has been suggested multiple times. Unfortunately, almost all programs legitimately copy uninitialised memory values around (because compilers pad structs to preserve alignment) and eager checking leads to hundreds of false positives. Therefore Memcheck does not support eager checking at this time.