Raymond from The Old New Thing has written a great article to remind us that "The Default Answer to Every Dialog Box is 'Cancel'." He includes many examples, but what it boils down to is that average users are frequently intimidated by dialog boxes, and if given the choice, will avoid them. The solution is to clarify your messages as much as possible. For instance, in a dialog box asking if the user wants to save their document, Microsoft will present two buttons, labelled "Yes" and "Cancel." Apple, on the other hand, will present two buttons labelled "Yes, save" or "No, don't save." This still isn't perfect, but it's a huge step in the right direction. Just remember that your user has zero interest in how your program functions, and don't burden them with information and choices that are only interesting to the programmer.
Mike Davidson pointed me to this Nietzsche quote in a post by Jeffrey Veen, who was referencing a slide by Steve Mulder (how's that for attribution?) which applies neatly to this situation:
To predict the behavior of ordinary people in advance, you only have to assume that they will always try to escape a disagreeable situation with the smallest possible expenditure of intelligence.
-- Friedrich Nietzsche