When threads are created on Windows, the caller of the CreateThread API has the option to supply stack reserve/commit sizes. If not specified--i.e. the stack size parameter is 0--Windows just uses the sizes found in the PE header of the executable. Microsoft's linkers by and large use 1MB reserve/2 page commit by default, although most let you override this (e.g. LINK.EXE's /STACK:xxx,[yyy] option and VC++'s CL.EXE /F xxx). The CLR always pre-commits the entire stack for managed threads.
You'll often find situations where a program has been deployed and starts running out of stack space. Many times this is just a bug. But this also often happens when more data is fed to the application than was used during testing, causing deeper recursion or larger stack allocated data structures than is typical. ASP.NET, for example, uses 256KB stack sizes by default to minimize memory pressure due to large numbers of concurrent requests. It does this by setting the PE header's reserve size to 256KB, and relying on the fact that the CLR thread-pool creates its threads with a default stack size. I think WSDL.EXE also uses a 256KB stack to make startup faster. I was recently chatting with a customer who kept stack overflowing WSDL.EXE due to an extremely large XML file they were trying to parse (recursive XML parsers tend to use very deep stacks anyhow).
If you don't have the source code for the program in question, you can always use the EDITBIN.EXE utility that comes in the VC++ SDK to change the PE header's default stack values. Say you have an executable, FOO.EXE, that has been deployed and suddenly starts running out of stack space. You know it's not a bug -- it simply needs to consume more stack than was originally reserved. Running `EDITBIN.EXE FOO.EXE /STACK:2097152`, for example, changes the default stack to 2MB. This of course only works for threads that are created using the default stack size; if they override it explicitly, changing the PE header has no effect. This always works for threads in the CLR's thread pool.
Warning: Using EDITBIN.EXE like this can invalidate support and servicing warranties on commercial executables. You might want to use this approach for workarounds in your own organization or for personal use, but I don't recommend it for, say, Microsoft shipped binaries. There's no guarantee things will continue working as you'd hope, especially if you're shrinking the stack size instead of growing it. And next time you download an update from the Windows Update server, you may find that you've accidentally hosed your machine (although it honestly seems rather unlikely).