If a game crashes, that means that it nearly wrote over memory it shouldn't have and could corrupt your data, your operating system, even your hardware. You were "saved" by things like DEP and similar but that doesn't mean it's acceptable.
Say what? The MMU prevents apps from writing crap onto the operating system, not DEP. If a game can corrupt your operating system or hardware, you should thank them for exposing critical flaws in your operating system or hardware.
"An idealist is one who, on noticing that a rose smells better than a cabbage, concludes that it will also make better soup." - H.L. Mencken