Minor rant, but look at the "InConnectionString Argument" section (which I can expand/collapse [useless] but can't link directly to, which is annoying) of this page. Try to read their grammar for a connection string. Confused yet? There are line breaks that have completely disappeared, causing words to merge together (e.g. "connection-stringattribute" should be "connection-string" with "attribute" being on a new line). I filled out the little "did you find this helpful" thing at the bottom of the page explaining the problem a year ago, and it hasn't been fixed. Dumping half-assed documentation on the web and not fixing (reported!) errors wastes the time of each individual developer that has to read/decipher it. The PHP online documentation is one of the most useful ones I've found, largely because it allows users to add comments/examples that make things clearer. Microsoft does the opposite -- not only can users not add to it, but the improvements that users suggest (through the "did you find this helpful" thing) are ignored. Perhaps all of the useful information is on StackOverflow because Microsoft doesn't allow it to be added to their own documentation.
More generally, it should be easy to bookmark pages (URLs should NOT break, even when new versions are released!) and sections within pages so it is easy to refer back to important things, as you could with paper documentation. Documentation for each function/object should link back to an overview that explains how it fits into things, and it should link to examples that show how all of the arguments (not just one special use case) works. Documentation should explain any differences between new/old behavior of any function/object because not everyone is developing for the latest version of the OS or development platform. And, just to beat a dead horse, users should be able to submit improvements/clarifications that actually get used.