Microsoft .docx files, can be previewed using QuickLook. To do that, just press Space after selecting such a file. They can be opened with TextEdit since OS X 10.5 (thanks, Duvrai).
PDFs (and all kinds of images) are opened by Preview.app. Many people prefer to use free and open-source Skim as a replacement PDF reader.
ZIP files and several other archive types are opened by Archive Utility (previously called BOMArchiveHelper until OS X 10.5). The Unarchiver is a well-known alternative to Archive Utility, which supports more file formats.