Windows only: GmailDefaultMaker needs a better name. Not that the free app doesn't set a Gmail composition window as your default email link action, but the app also ably handles Yahoo, Hotmail and AOL accounts as well.
Download the installer, run it, pick your email service of choice, and from then on, any link in a browser, Word document or other app is sent along to a composition window in your default browser. The app works, it runs light and doesn't even require a system tray app icon. The one drawback is that switching email handlers requires a re-installation, but it can be a lot more convenient than setting up each browser and app on your system with your custom email needs.
GmailDefaultMaker is a free download for Windows systems only.