While there is an application you can download and that makes it easy to change the default application. "AskDaveTaylor.com":http://www.askdavetaylor.com/how_do_i_change_file_icons_and_the_default_application_on_my_mac.html has an obscure way to do it that doesn't require a download:

# Click on the file that you want to change. For instance, foo.mpg
# Choose File/Get Info
# You will see a pane with all the file information. Now, this is really unintuitive, click on the "Open With:"
# Select from the pulldown a different application. The Change all... button lights up and click on it

So not too obvious, that it is on the Get Info, but it works!