The biggest problem that I've seen is that on Windows apps sometimes steal this association. I used to tell users to do this to launch Java applications, but it was surprising how many times they would end up in WinZip or some other Zip handling application.
Java does try to get that to work by default, though.
File compression utilities really do go way overboard on what they want to open as zipped files. Installing one usually means having to uncheck maybe half the defaults because they're more commonly used as regular file formats.