Let $(u_x,u_y,u_z)$ be a unit vector. Then a normalized vector for spin-1/2 in this direction is given by normalizing a column from the pure density matrix: $\frac{1}{\sqrt{2+2u_z}}\left(\begin{array}{c}1+u_z\\u_x+iu_y\end{array}\right)$. This solution works except when $u_z=-1$. So this gives a normalization choice of spin vector that is continuous over the possible eigenstates of spin with the exception of spin down = $\left(\begin{array}{c}0\\1\end{array}\right)$.
It is impossible to choose normalized spin-1/2 vectors for all possible eigenstates of spin-1/2. This is a fact that is related to Berry-Pancharatnam phase. The best you can do is to leave a single point, as in the above, where there is an essential discontinuity.
What I'd like to know is what other j have spin-j vectors unable to be normalized. That is, given all possible eigenstates of spin-j, is it possible to choose one from each ray, such that the choice is continuous?
Partial Solution: Per Dr. Motl's answer below, I'll down the situation for a natural representation of spin-1. Choose $S_x = i\left(\begin{array}{ccc}0&0&0\\0&0&+1\\0&-1&0\end{array}\right)$ $S_y = i\left(\begin{array}{ccc}0&0&-1\\0&0&0\\+1&0&0\end{array}\right)$ $S_z = i\left(\begin{array}{ccc}0&+1&0\\-1&0&0\\0&0&0\end{array}\right)$.
It's easy to verify that these satisfy the $SU(2)$ rules $[S_x,S_y] = iS_z$, etc. Then the spin operator for spin in the $u = (u_x,u_y,u_z)$ direction is given by: $S_u = i\left(\begin{array}{ccc}0&u_z&-u_y\\-u_z&0&u_x\\u_y&-u_x&0\end{array}\right)$
and the solution with spin=0 in the $u$ direction is given by the vector $u$. And sure enough, it's impossible to choose the vectors for spin=1 as a continuous function of $u$.