This question clearly references crash dumps, which contain a great deal of valuable information that can't be written to the event log. Minidumps contain a subset of the application's memory including things like the stack for every thread while Dr Watson can be (cautiously) configured to produce a full dump which can later be pulled apart to examine memory structures and all sorts of other goodies using the following tools:
http://www.microsoft.com/whdc/devtools/debugging/installx86.mspx
A well written .NET application will have an unhandled exception handler for each application domain which will catch most issues that would trigger a second chance exception, but elusive problems such as heap corruption are difficult to trace without dumps as you don't get the opportunity to write events before the application is taken down. Other examples include out of memory or stack overflows.
The following document should help you configure your system up appropriately, overriding the default 'press OK to continue' behaviour.
http://msdn.microsoft.com/library/default.asp?url=/library/en-us/cpguide/html/cpcondebuggingprofiling.asp
In summary, place the following in a .reg file:
[HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\.NETFramework]
"InstallRoot"="C:\\WINDOWS\\Microsoft.NET\\Framework\\"
"DbgManagedDebugger"="drwtsn32 -p %ld -e %ld -g"
"DbgJITDebugLaunchSetting"=dword:00000002
Unfortunately, I am now thwarted by the following issue which I will progress with MS support:
http://support.microsoft.com/default.aspx?scid=kb;en-us;836080