You generally don't have to give them information, though, that you'd only give to your bank.
As I remember, when I went to register my legal copy of XP, they tried to hook me into a Passport account and asked for information that, at the time, I thought wasn't their business to know. Clearly, I'll have to reconsider this now.
But let's not think that this is just registering for a warranty. MS does have a larger agenda.
Though I don't like Microsoft's pricing or their operating system, and I resent that I'm currently dependent upon it, I'm at the same time sympathetic to the piracy issue.