Launch Services keep track of the association between data files and applications so that when a file is double-clicked or opened from the command line, OS X knows which application to launch. Occasionally, the database which maintains these relationships will become corrupted and when a file is double-clicked, Finder will not know how to proceed.

A quick fix for this is to rebuild the Launch Services database by issuing the following from the command line:

/System/Library/Frameworks/ApplicationServices.framework/\
Frameworks/LaunchServices.framework/Support/lsregister \
-kill -r -domain local -domain system -domain user

More information on Launch Services can be found in the Apple developer documentation