The only thing I've ever gotten (when overdoing it with VMware) was a dialog in Windows warning I was running out of RAM - and you have plenty of time to fix the issue, it's nowhere near a crash. No blue screens, crashes, or anything like that. It's hard to believe I just got lucky and never experienced the 1% on so many different machines running different software over many years. You still have control of what's running and when you're overextending your machine.

A server, on the other hand, is a different story. Unexpected server load and the like, on machines that aren't run as desktops, now that could go south very quickly. I'd never run without a page file.