I always have to open twice each and every file before it actually opens up. This happens regardless if I'm double-clicking items with the mouse, or selecting them and pressing Enter. Notice also, that this doesn't happen when opening folders - only files seem to be affected. I thought this was related to me using thunar to browse smb: locations (via gvfs/fuse) - but that wasn't the case. Instead, it appears to have to do with the custom actions: I renamed the .config/Thunar/uca.xml file (I had previously added a custom action "gksudo thunar %f" for directories). My custom action was gone, but Thunar flawlessly opened files at my first double-click/Enter. I'm using Xfce 4.8, with Thunar 1.2.3, on Debian Wheezy (testing) amd64. As said, I've also installed samba/winbind/gvfs/fuse.
Possibly fixed by now. Not reproducible.