I have no idea why the window manager team added this feature to Windows NT. It basically says, "Hi, use this key to violate all the rules known to mankind about what can legitimately be done in a DllMain function. Oh, and be an attractive malware attack vector, too."

I've debugged a few crashes that were traced back to the AppInit_DLLs key. What makes them particularly fun is that the offending DLL is usually not on the stack. Rather, the fact that a foreign DLL is being loaded inside USER32's initialization code means that you're violating the rule against calling LoadLibrary inside a DllMain function. The result of this madness is that DLLs get initialized out of order, and typically manifests itself in some DLL crashing trying to use an object (often a critical section) that it is supposed to have initialized in its DLL_PROCESS_ATTACH handler. It crashed because the loader got tricked into initializing DLLs out of order. The dependent DLL received its DLL_PROCESS_ATTACH before the prerequisite DLL.

I end up looking at these failures because the victim DLL is often a DLL that my group is responsible for.

The window manager folks came to the same conclusion about AppInit_DLLs, and it doesn't work any more in Windows Vista by default. (Nick Kramer describes how to re-enable it.)