I just discovered that Word actually does remember your last cursor position when you save and close your document, and you can get back there just by pressing Shift+F5. Good grief, I can't believe I've been using Word for 15 years and just found that out today.
Unfortunately, this was a really bad time for me to learn this trick, since it only works with .doc files -- if you recently made the switch to .docx files (like I did), this trick won't work.
But for any traditional .doc files out there, this is the next best thing to making Charlemagne do his own typing. [via ghacks]