As with all operating systems, OS X associates it's file types with a particular application. For example, MPEG-4 files are associated with QuickTime (by default), so when you double-click on an MPEG-4 file, it automatically opens it in QuickTime. It's fairly common to want to change the default application on some file types. If I open almost all of my images in PhotoShop (for editing), for example, I would want to change the association for JPEG file types to PhotoShop, instead of the built-in Preview application.

To do this, simply highlight a file you want to change the association for, and then hit Command+I (this will open the Info pane). Under the section titled "Open With", you will see the name of an application. In the example below, this JPEG file is associated with Preview, so it shows Preview. To change this to PhotoShop, simply use the drop-down list to choose the application you want to use instead. In this case, I changed it to PhotoShop.

Once you have selected your application, you then have the choice to make this change affect all files of this type (JPEG, in this case), or just this one. To have this change affect just this one, simply close the window. For the change to affect all files of this type, press the "Change All..." button. After a quick confirmation, you are set to go! I didn't choose this option in my example:

On a side note, if you want to open a particular file in an application that is not the default application just once, then simply right-click (Control+click) on the file, and use the "Open With" option. This will give you a list of all applications on your Mac for you to choose from.