Why do I need to do `--set-upstream` all the time?

You can make this happen with less typing. First, change the way your push works:

git config --global push.default current

This will infer the origin my_branch part, thus you can do:

git push -u

Which will both create the remote branch with the same name and track it.

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.

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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.