Research & Development - Or Just Development?

Something I've been thinking about lately, is the “R” side of R&D. At many technology organizations you hear about budgets for R&D. But what exactly happens as aspects of research? Is research comprised of proof of concept applications? Is it research done on target markets for your product(s)? I've heard (but only seen a little) of Microsoft's research labs. What goes on there?

My best guess is that research is carried out by many groups or individuals within an organization. The marketing people research the most effective advertisement and sales strategies while the technical people research the best ways to achieve performance or security in the systems they build. However, I don't have much evidence to support these claims. So I'm opening this discussion up to those of you reading this.

• Do you do anything you would consider Research as part of your job? If so, what is it?
• Do you think research is an important part of software development? Is it given enough attention?