I always send in those error reports because I too feel that the more MS hears about an issue the more chances there are of it being fixed in a SP.
There was the issue along the lines of 'If Word crashes, then the dump file you send to MS can contain the document you were working on at the time of the crash' - potential security hole, but hell I'm sure MS really don't care what the file contains, unless it was a Sun employer who sent the crash report

There are of course those that feel it's MS spying on you, but those paranoid people really shouldn't own a cable/ADSL/modem and should lock their PC's up where nobody can get to them.