you will have to do this with each file type you want vlc to be the default player for:
Find a file of said format (avi, mpg etc). Select it in the finder and then select 'get info' from the File menu (or press apple-i ).
Click the little triangle next to 'open with' on the panel that appears, choose VLC from the drop-down list, then hit the 'change all' button. Click ok to the warning it gives you, and voila, its done.