In many of Microsoft's products - Windows Live Messenger; Windows Media Player; Visual Studio, SQL Server; Office and even Vista there's a small checkbox hidden away that lets up opt-in to the various Customer Experience Improvement Programs.
These collect some pretty generic, high level data about what's going on when you use the products and feeds it back to the relevant labs to help them identify functional or workflow products and improve them in later versions. In the case of "live" products they can also help to track down and fix service quality products.
A good example of why you should always make that little effort to turn it ON is outlined in this tale from Wendy the Mighty (one of the testers on the WLM team).
Slightly less entertaining, but nevertheless valuable is this outline of what CEIP is and how you can help. It's not so MS can grab all your personal information, spam you or target you with customized advertising. It's about how you can help improve the products and services you use every day