When you go through the motions that eric2006 suggested, simply click the "Change All..." button, like he said. This will change ALL files of the current type.
For example, if you want to use Acrobat instead of Preview to view PDF files, you would do a "Get Info" on one, single PDF file, change the application to "Acrobat", then click the "Change All..." button. All PDF files will now open with Acrobat.