Are there any effective ways of doing this?

Playing in borderless windowed mode (choose the same resolution as your desktop and "windowed mode" in MGE XE) always worked for me... other than that using Morrowind Code Patch can't hurt and if you have a 64bit OS, patching the exe to Large Address Aware with http://www.ntcore.com/4gb_patch.php can make a real difference, especially when using many graphics mods. And there is still http://timeslip.users.sourceforge.net/exeopt.html, but I haven't used it for some time now. But if you do, make sure you update your Morrowind.exe and apply the Code Patch before the exe optimizer. But apart from the one with the borderless window, I don't know how these things affect crash on exit, but they can significantly reduce CTDs while playing.

The actual sequence of events I have seen posted elsewhere and which I myself used, is this:

I think it does not matter when LAA is applied.

Hrnchamd stated to ALWAYS do MCP before exe opt and LAA. exe opt and LAA might be interchangeable, but...I would not disregard the MCP instructions by Hrnchamd.

whats the exe optimiser?

The tool I linked to in my first Reply: http://timeslip.users.sourceforge.net/exeopt.html

It modifies the exe to improve stabilty and performance. Well I don't know whether it matters when LAA is applied but you can't do anything wrong with the order Spirithawke posted.

And damn, I suddenly regret not having used the exe optimizer in the last few months (I don't really know why), because applying it now seems to have fixed all my crash problems, most importantly on loading savegames made in exterior cells! Those would not load at all most of the time before, and now it looks like no matter where I save I can load just fine. Man I wish I'd known that earlier, would have saved me so much trouble.

As others mention, the 4GB patch seemed to help me a bit.

This might all be random, but I always do this before exiting and it seems to help decrease the crashes.
- Go to an Interior.
- Wait 72 hours
- Save on a brand new save file.
exit.

I figure the less clutter info the save file is remembering, the easier it is to close Good practice anyways to create a fresh save file often.

I just DL'd the 4gb patch, do I only need to patch it to the morrowind.exe in my MW data files folder or all the files in there?