I have had the same problem with Banshee and Rhythmbox. When I set the media players as my defaults for MP3, and double-click an MP3 files, the song starts playing...but then as soon as the GUI window for the media player has finishing loading and pops up, the song stops and there's no trace of it on the media player, with no song loaded at all. “Open with Banshee” works, while “Open with Rhythmbox” doesn't...but having to do anything past double-clicking a music file to make it play doesn't make sense to me.