I, along with others in my shop, have used images, toggling the hidden attribute based on the field value (true or false). We haven’t had any problems with blurring or scaling, unless we tried to increase the scale of the image beyond 100% obviously.
Another option I’ve used is similar to the wingdings idea, but I just use a plain old “X”. On our forms at least, it is not uncommon for someone to use an X in a box instead of a check mark, so it looks completely acceptable. Plus, you don’t have to worry about strange characters when printing.
As for why Microsoft does not include a checkbox control, I can’t answer that as I’ve been wondering the same thing myself for a long time now.