Ah, that is the question indeed. OpenOffice.org's default document format is XML (eXtensible Markup Language), an open standard for document formats (although it is saved with an .sxw extension). The main reason for sticking with OpenOffice.org's native format is one of support and portability. XML is an emerging standard, and many applications in development either support XML or plan to.
Alternatively, the main reason for sticking with Word format is, quite frankly, that Word is everywhere. The sheer number of Word installations is the very reason that OpenOffice.org was designed to support Microsoft Office format as thoroughly as it does. That said, if you do want to switch to XML format, Writer provides an easy way to do that. Rather than converting documents one by one, the Document Converter speeds up the process by allowing you to run all the documents in a specific directory in one pass. It also works in both directions, meaning that you can convert from Word to OpenOffice.org format and vice versa. The conversion creates a new file but leaves the original as it is.
From the menu bar, select File, move your mouse to AutoPilot, then select Document Converter from the submenu. To convert your Microsoft Office documents (you can do the Excel and PowerPoint documents at the same time), click Microsoft Office on the menu, then check off the types of documents you want. The next screen will ask you whether you want both documents and templates or just one or the other. You will then type in the name of the directory you want to import from and save to (this can be the same directory). After you've entered your information and gone to the next screen, the program will confirm your choices and give you a final chance to change your mind. Click Convert to continue. As the converter does its job, it will list the various files that it encounters and keep track of the process.
When the job is done, you'll have a number of files with an .sxw extension in your directory. If you change your mind, don't worry. Your original files are still there, so you've lost nothing.
If working with Word documents in Word format is important, then read on. Ah, heck. Even if it isn't, you should read on.