I create a new branch in Git:

git branch my_branch

Push it:

git push origin my_branch

Now say someone made some changes on the server and I want to pull from origin/my_branch. I do:

git pull

But I get:

You asked me to pull without telling me which branch you
want to merge with, and 'branch.my_branch.merge' in
your configuration file does not tell me, either. Please
specify which branch you want to use on the command line and
try again (e.g. 'git pull <repository> <refspec>').
See git-pull(1) for details.
If you often merge with the same branch, you may want to
use something like the following in your configuration file:
[branch "my_branch"]
remote = &lt;nickname&gt;
merge = &lt;remote-ref&gt;

[remote "&lt;nickname&gt;"]
url = &lt;url&gt;
fetch = &lt;refspec&gt;
See git-config(1) for details.

I learned that I can make it work with:

git branch --set-upstream my_branch origin/my_branch

But why do I need to do this for every branch I create? Isn't it obvious that if I push my_branch into origin/my_branch, then I would want to pull origin/my_branch into my_branch? How can I make this the default behavior?

Git v2.37.1 and above

If you are using the mentioned version or above you can use this new config entry to automatically setup remote tracking:

git config --global push.autoSetupRemote true

After that, when you do git push tracking is setup automatically. No need for git push -u origin my_branch

A shortcut, which doesn't depend on remembering the syntax for git branch --set-upstream ¹ is to do:

git push -u origin my_branch

... the first time that you push that branch. Or, to push to the current branch from a branch of the same name (handy for an alias):

git push -u origin HEAD

You only need to use -u once, and that sets up the association between your branch and the one at origin in the same way as git branch --set-upstream does.

Personally, I think it's a good thing to have to set up that association between your branch and one on the remote explicitly. It's just a shame that the rules are different for git push and git pull.

¹ It may sound silly, but I very frequently forget to specify the current branch, assuming that's the default - it's not, and the results are most confusing.

Update 2012-10-11: Apparently I'm not the only person who found it easy to get wrong! Thanks to VonC for pointing out that git 1.8.0 introduces the more obvious git branch --set-upstream-to, which can be used as follows, if you're on the branch my_branch:

git branch --set-upstream-to origin/my_branch

... or with the short option:

git branch -u origin/my_branch

This change, and its reasoning, is described in the release notes for git 1.8.0, release candidate 1:

It was tempting to say git branch --set-upstream origin/master, but that tells Git to arrange the local branch origin/master to integrate with the currently checked out branch, which is highly unlikely to be what the user meant. The option is deprecated; use the new --set-upstream-to (with a short-and-sweet -u) option instead.