I was actually unaware that people used their registrar as their DNS provider. I've personally only used GoDaddy to purchase domains and couldn't for a second thing anyone would want to use them for something as important as DNS.

Other people have mentioned having to move Email as well, but I don't understand why people don't use Google Apps which is free and stops you from having to migrate your email all over the place when you switch hosts.

The person I replied to specified "major sites". How many major sites do you know that use GoDaddy to host their DNS?