My copy of Word changes a hyphen to an m-dash if it thinks it should be one. I think it's simply based on whether it's surrounded by spaces.
It mostly gets it right, the exception being at the end of dialogue (probably because the closing quote is next to it).
Wow, thats one smart Word!
I use Ctrl + Alt + the minus sign on my numeric keyboard for the em dash. I have Word 2007, but it's always worked for me that way.
As others have said before me, I us the em dash for broken and interrupted thoughts; flanking em dashes within a line of dialogue or narrative indictae a brief detour into a separate thought before returning to the thought begun earlier:
"Cash pried at the lid of the box--Steve was going to have his hide if he knew what he was about to do--and opened it."
Of course, here the double hyphen is the appropriate substitute, as ctrl+alt+- doesn't work.
The ellipse is generally used for trailing thoughts and unspoken dialogue:
"If Steve knew what he was about to do, he'd...
Cash gritted his teeth and opened the box anyway."
I've seen ellipses and em dashes used in ways that, for me, seemed reverse of this and I found it distracting. So, even though there's certainly room for personal style, I'd worry about going too far astray of the recs given here. Above all, be consistent, and do use Strunk and other resources for guidance.