I've got my hands on a copy of the leaked, confidential Microsoft "Global Criminal Compliance Handbook," which details for police and intelligence services exactly what information Microsoft collects about users of its online services, and how they can be accessed. What is gathered and available about you is quite comprehensive, including your emails, detailed information about when you sign in and use the services, credit card information, and so on.
The handbook was first leaked by the whistleblowing site Cryptome. Microsoft asked that the document be removed from the site, under the Digital Millennium Copyright Act. The site was instead shut down, and as I write this, it is in the process of being restored.