You should always send crash reports when your programs crash. Sometimes you get really useful information back. Recently, Winamp crashed when trying to play a file for me, so I submitted a crash report, and was taken to a page that told me that Nullsoft just released an update to fix that crash.
Even if you don't get nice, instant results like that, your crash report on a Microsoft product ends up as a bug for someone to investigate. And who doesn't want to file bugs on Microsoft developers?
(Watson is the code name for the various reporting mechanisms that Microsoft uses, usually specifically referring to the crash reports.)