On Mac, how can I set a default program to open *all* unknown files?

That isn't an option because some files you wouldn't want to open. As a result you you can select by file ext. hold down option while right clicking and select open with and select text wrangler. This will change the default for all files with the same extension.

I like just dragging the file and dropping it on the text wrangler app (I keep it in my dock. This doesn't require you to change the default program but opens the file just the same.