Another way is to right-click the media you are playing. For instance, if you right click an avi file, go to Properties -> Open With. Whatever you change the default program to, that program will now open any future avi files.
In regards to Preferred Applications, you should be able to switch the default to mplayer (I think the GUI you refer to is now Gnome MPlayer?). In any case, if the entry does not exist, select Custom and use the command you desire, such as mplayer or gnome-mplayer.