Well it doesn't crash on me, not that often at least, so I wonder what could be wrong there in your environment. In general, I like MSYS, even though I feel like there's a place for improvements. You could try to track down these crashes and ask for help here, maybe there's some solution. For example, some time ago I was trying to make ls deal ok with non-ascii characters in filenames, and people kind of looked down to me like that's the way MSYS was designed, getting even to the point at me looking at bash source code to try get it fixed. All that for finding out in the end, that I just needed to do two small edits in some config file. I've been going though a timezone problem too, but I think I have tracked down the root cause and I hope now for a fix. In short, don't give up.
2012/10/24 LRN <firstname.lastname@example.org>
Does that mean that MSys sh.exe will never crash without explanation,
leaving a dump file, or that sh.exe or make.exe (ok, make is not part
of the shell, but it is part of MSys, so that's applicable to me
bitching about MSys) will never hang up (again, without explanation)?
Because that's not what i usually see.