I really don't like EA Games and Microsoft Games placing stuff there… I prefer to keep all program stuff in the program folder (same reason I hate appdata).
I'm just the opposite--I prefer keeping data separate from executables. I think sticking the game data in My Documents is a reasonable default for players who don't understand paths and directories and don't care to learn.
HOWEVER, since it isn't a document and is huge, I really wish they had included the option of changing the location for the rest of us.