To my mind one of the biggest open problems in probability, in the sense of being a famous basic statement that we don't know how to solve, is to show that there is "no percolation at the critical point" (mentioned in particular in section 4.1 of Gordon Slade's contribution to the Princeton Companion to Mathematics). A capsule summary: write $\mathbb{Z}_{d,p}$ for the random subgraph of the nearest-neighbour $d$-dimensional integer lattice, obtained by independently keeping each edge with probability $p$. Then it is known that there exists a critical probability $p_c(d)$ (the percolation threshold}) such that for $p < p_c$, with probability one
$\mathbb{Z}_{d,p}$ contains no infinite component, and for $p > p_c$, with probability one there exists an unique infinite component.
The conjecture is that with probability one, $\mathbb{Z}_{d,p_c(d)}$ contains no infinite component. The conjecture is known to be true when $d =2$ or $d \geq 19$.
Incidentally, one of the most effective ways we have of understanding percolation -- a technique known as the lace expansion, largely developed by Takeshi Hara and Gordon Slade -- is also one of the key tools for studying self-avoiding walks and a host of other random lattice models.
That article of Slade's is in fact full of intriguing conjectures in the area of critical phenomena, but the conjecture I just mentioned is probably the most famous of the lot.
Another classical example of "looking at all choices instead of one" is the idea of the fundamental groupoid of a topological space. Instead of choosing one base point and letting all loops begin and end in this point one considers all paths between all points (modulo homotopy). This notion makes theorems like the Seifert-Van-Kampen-theorem much more natural. One does no longer have to add technical conditions that certain intersections contain the base point and are path connected.
Best Answer
As a counter-point to my somewhat flippant previous answer (which only really applies if one is a specialist in the field), if you are looking at a field in which you are not as much a specialist in, I suggest reading the articles from the Bulletin of the AMS. The articles are designed to be fairly up-to-date and expository in nature, and often gives the state of the art in their reviews.
Of course, a similar caveat as that to Helge's answer applies: the "news" maybe several months out of date. But considering the glacial paces at which a lot of mathematical refereeing takes place, I think it is quite okay.
In the spirit of this answer, you may also find Which journals publish expository work? to be useful.