Right out of the box, Windows 7 and Vista let you preview most mainstream and multimedia file types. To find and activate the preview function, go to Windows Explorer (click Start and type explorer.exe in the "Search programs and files" box) and click the Preview icon in the upper right corner.
Unfortunately, the preview pane is slightly eccentric. For instance, if a multimedia file type is not associated with Windows Media Player (WMP), preview won't work; instead you'll probably see just an icon of the program it is associated with. Not to worry. To preview a slew of lesser-known file types in Windows, while still allowing you to open the files with the default program of your choice, download and install PreviewConfig. Downloading the K-Lite codec pack will add preview capability for video and audio files like Ogg Vorbis, DivX, and others. And NitroPDF Reader takes care of PDFs. If you stumble upon a file type that those utilities can't handle, head to your favorite search engine and look for "DirectShow" plus the file type in question to find a free preview handler.
If all that preview-pane tweaking sounds like more trouble than it's worth (or you're using Windows XP, which doesn't have the same preview capabilities), consider a stand-alone program to open your oddball files. Start with VLC, which is free and handles virtually every video and audio file type in existence. For photo and graphics files, try GIMP, a free app that supports a huge number of files and is a top-notch image editor to boot. For viewing and extracting compressed files, you can try freebies 7-Zip and PeaZip, though nothing beats RARLab's $29 WinRAR, which supports nearly every compression format known to man.
If you're still using Microsoft Office 2003 and want to read, edit, or save files created in more recent versions of Word, Excel, or PowerPoint, you'll want to install the Microsoft Office Compatibility Pack. Finally, if you need to view various obscure, older business documents (remember AMI Pro, Harvard Graphics, or SuperCalc?) and are still stumped, consider shelling out for Avanstar's $49 QuickView Plus Standard. It doesn't integrate into the Windows preview pane, but if you right-click on any supported file, you'll have an option for the QuickView viewer.