How can applications end without warning

I am a programmer, and occasionally while debugging or working on some code the application crashed due to any number of reasons (i.e. crap code ). Normally, as when any application crashed, i will get the usual message from Windows:
"Blah has encountered a problem and needs to close. We are sorry for the inconvenience."

But sometimes the app will just close without any warning and without and error message afterwards. I have had this happen on xp (in a VM) and i think maybe Vista too. I am not doing any driver development or anything like that, and i do not get a BSOD, the app just simply quits.
I am just curious as to why that would happen. Windows should be able to detect a standard protection violation and other common causes of a crash, what things can't it detect?