I have run into a problem where Parallels (hosting Windows XP) exits unexpectedly. It has happened a number of times, though it's not consistent. This occurs when have a secondary monitor plugged in to my MacBook Pro (with the laptop screen on as well) and I'm running Parallels on it in full screen mode and I unplug the monitor. The external monitor is 1600x1200. What typically happens is that that parallels switches over to the laptop screen though it still seems to be in 1600x1200 mode, and it is not active. After a few seconds, it just exits. I have a crash log, but am not sure where to send it.
I can confirm that this happens to me as well, but I have just gotten into the habit of exiting fulscreen mode before unplugging the secondary monitor