Or not. It’s Retry to debug. Of course!
Yes, the “Press Retry to debug the application” dialog is still a part of Microsoft’s Visual Studio 8. And yes, I still press abort half the time and curse it when I lose the assertion context. Studio 8 is generally a great development tool, but when is Microsoft going to take the time to polish their user interface? This bug has been bugging me for almost 10 years!

Most unixes take a slightly different approach. When an application finds itself in la-la land, the OS produces a dump of the state called a core file (Windows can do something like this too if properly configured). The core dump contains enough information to restart the application in the exact state it failed in, making it easy to debug over and over again. The file can also be sent to other developers, who can use it to debug the very same crash.
Most of the time when a unix program core dumps on you, there’s no pop-up to tell you about it. Some newer unix-like systems provide crash notification and then restart the program for you, though often a silent failure is desired.
Microsoft’s choice to show a dialog in this case is sane, they just need to spend a few hours and clean up the horridly unusable user interface.