Well, apparently it''s possible!

This is not easy to do with current debugging techniques on Win32/64. But you can use the SetUnhandledExceptionFilter function to set a trap for catching the untrapped exception. Save the stack information, compare with MAP and the symbolic debug information file and you have the entire state of the system on the moment of crash.
If you want it ''live'', you can create your own little debug program (not that hard) and have it debug your game - this way you can break down to the offending source code line when stuff happens (again with the use of map and symbol files) and do whatever it is that current debug programs can''t do.
As someone said then reverting to a previous state is probably only realistic if you program in ''simple'' or managed languages (asm, c or perhaps ilasm) - trying to revert state in a c++ program with multiple threads and the like is probably not realistic.
I have, personally, never needed to revert state to find a bug and I find the current debugging techniques quite adequate - check out John Robbins'' Debugging Applications for MS .NET and MS Windows - it is the tome to have for debugging Win32.