There are so many different places that store information about MIME types and what applications to use when opening a certain type of document or URL.
There is the GNOME control panel, the KDE control panel (I use some KDE apps as well as GNOME), each file manager and web browser decides to do it differently, then you have browser plugins that need specific configuration, then you have /etc/mailcap (which I discovered recently), and then many apps have their own settings. Where you do have integration, it's often not very easy to work out which system is being or how to change the associations. (Nautilus is an honorable exception, it integrates properly with GNOME, but unfortunately just too bloated to use if you want to actually *manage* *files* and not show off fancy icons).
The worst of all is web browsers - I have mainly convinced my apps to open http URLs and HTML files in galeon, but still a number insist on opening help pages in mozilla, and I'm yet to solve this one!
Next to the general bloat of many applications, this would be one of my biggest annoyances.