It wouldn't be worth it, even if they could swing a hostile takeover--especially if it were a hostile takeover. It would be decades before they'd see a positive return on that investment and that's assuming they could turn Sony around.
It also probably wouldn't mean brand consolidation, either, if it were to happen, which appears to be what some people are thinking. That almost never results in the merged brand claiming 2x the market share. We'd likely still see Playstation and Xbox brands, at least for awhile.
Still, it would kind of be interesting. Microsoft would have none of the sentimental feelings Sony has about producing televisions in Japan; my bet is that they'd ax the entire division, though moving production to China might be a possibility. Why would Microsoft get into insurance, though? Besides gaming, they might be interested in Sony's cell phone camera business but that's about it.
No, Microsoft's practice of buying up-and-coming technology companies is much more sound and free of excess baggage.