OpenWith minor mode by Markus Triska.
Open files with external applications. Works from everywhere (find-file, dired, etc.).
If you have problems making it work on MS Windows, have a look at this tip.
RunAssoc is a similar (alternative) utility.
I’ve made a couple of improvements to this, you can find them on bitbucket. It opens things as if you double clicked them in Explorer on Windows, and wraps commands in nohup on Unix so launched processes will not exit if Emacs exits.
See also CategoryExternalUtilities