When Windows crashes, it collects information about the crash during the time that the Crash Screen is displayed. At this point, the OS collects information from running applications, drivers, ...

Yesterday morning I had a BSOD in Windows 7 x64 but when I looked for the dump or minidump files, neither was there (the last one was precisely a month ago yesterday, and did create a MEMORY.DMP file) ...

If you're talking about the files in \windows\minidump ... they contain information recorded at the time of an OS crash ("blue screen of death"). The stack of the current thread, some minimal info ...