Note: Not sure if this is a feature that will make it into the final release, or if it's there for testing while the product's in beta; I personally would love to see it remain, especially in the Server version.
Oftentimes, you don't know you need to take a (memory) dump until the moment is upon you - the process has hung, you can't work out what it's doing through other means.
And at that moment, it's often quite inconvenient to have to go surf the web to find the Debugging Tools for Windows or DebugDiag - what you'd really rather do is dump your errant process, fix whatever's happening, and then worry about getting someone to inspect the dump for clues later.
As always, there's no substitute for preparation, but hey, if you can't prepare, react!
All you have to do is invoke the Task Manager, right click the MrNasty.exe process, and choose Create Dump File. Most of the time, the process simply won't know what hit it, and it'll continue doing whatever it was (badly) before you dumped it after the dump is complete.
The dumps (processname.DMP files) get written to the pleasantly-shortened-since-Windows-2000 user temp folder.
Was it worth the pun? Absolutely.