If your Illustrator file is all vectors, you might want to try exporting as EMF (Enhanced Metafile). It's not my first choice either, but it's the only format I found that remains a vector when you bring it into Word. (I've tried importing EPS files, and Word seems to rasterize them instantly.)
Otherwise, I agree that PNG is the way to go.
Actually, I've found that converting texts to outlines, and using standard Copy / Paste from Illustrator to Word works great - it comes into Word as vector art, and whilst a bit ugly onscreen due to no antialiasing, it prints fantastically and can be resized as only vectors can :)