I want Olly to come up when something crashes instead of Dr. Watson, which offers no interactive operation. I put Olly in the registry, under HKEY_LOCAL_MACHINE\Software\Microsoft\Windows NT\CurrentVersion\AeDebug, and it does open on a fatal error, but there's no data from the actual application (or DLL) that caused the error. I think I need something on Olly's command line to connect to the failing code, but I can't find anything online about this. Odd, because I know other people use this in place of Dr. Watson or WinDebug.
I assume you use Olly's version 2 (http://www.ollydbg.de/version2.html). Go to Options/Options/Just-in-time and click "Set OllyDbg". That's it.
In the unlikely case that you are a RichMasm (http://masm32.com/board/index.php?topic=5314.0) user, and that Olly sits in \Masm32\OllyDbg\ollydbg.exe:
int 3 ; somewhere in your code launches Olly
; int 3 ; doesn't launch Olly
INT 3 ; doesn't launch Olly, but of course, the just-in-time debugger will take over at this point
Works like a charm.