The thing is, do we even know if Microsoft will accept random 360's showing up without any kind of support ticket? Even more, after looking at that random Master Chief picture and deciding to act without any further research (IE- call to Microsoft's support number that's right there on the manual as well on a number of gaming websites for support for gamers), where would they get this address to send it to without getting any information on the process they are supposed to follow as well as paying for the shipping?
I'd think there is more to it than "I think I'll just send in my 360 without contacting Microsoft to find out what to actually do". Especially since it's more than just them saying "okay, you have a hardware failure, we'll send you a box for you to send your 360 to a repair center". I don't even know the full process, but I do know that vital information will be added to their information database. Things such are your name, address, 360, what was wrong with it, ect. Not to mention the actual generation of the support ticket, which will probably be referenced for any time you want to find out information about your 360 or the history of your support call woes and such.