That is so super annoying!

I'm not too sure about Vista...In older Words I usedta' just click on the little clipboard that pops up straight after you paste something, and select the formatting option there.

But in 2007 it's just a few clicks away! Yipee!

First Click the Office button.
Click the Word Options button.
Click the Advanced thingie.
Under Cut, Copy, And Paste click the drop-down arrow of the Pasting From Other Programs box
Aaaaaand select Match Destination Formatting.
Then Ok.

Give that a go!