I understand how Android works with intents, and I actually think this is a problem with how certain apps are declaring their AndroidManifest files and how the system saves decisions. If I have bookmarks to mywebsite1.com and mywebsite2.com and I select "Always" for one of the links from Bookmarks, it will still ask which browser I want to use when the Bookmarks widget broadcasts and intent for mywebsite2.com. I think the system is probably saying "Use Chrome for all links to mywebsite1.com" when what I really mean is "Use Chrome for all links launched from Bookmarks Widget". I think there should be a new AndroidManifest property where you can simply declare "I open all web links" not "I open http://*/* or whatever it is now. I understand that it's useful that I have a choice to open wikipedia links in the official app or in my browser but I see no reason to be asked for links that have no specific app for them. It's a fuzzy distinction, but important.
At least for me (Galaxy Nexus), that is how it works. I've set Chrome to "always" and now any links I click on in whatever app open in Chrome.
Maybe is something specific about how the bookmark app I'd launching its intents, though, because I don't use that app (I use a reddit app for launching links mostly).
The exception is links to sites which have their own handlers (reddit, YouTube, etc).
It works for me with most things, just certain apps break it. If you use the bookmarks widget or have multiple Wikipedia apps on the GNex you'll see what I mean. And it's (surprisingly) worse on the N7.