MS doesn't necessarily do anything with the information they collect but just like Google they’re accumulating data on everyone they can reach. Some information sent to MS is just anonymous statistics collection not identifying the user but some is not.
I started using Windows when it came on two floppies but I never used Outlook. I started with Linux in '06 and have used it exclusively since April of last year. It's certainly not for everyone but for those who bother to learn how to use it, it'll run circles around Windows any day. Best of all 99% of Linux software is legally free.