I contacted GOG support, they have been very nice, unfortunately, as of now, none of their sugestions worked, I hope they will solve the issue soon, every time I see the cursed "stopped working" message a small part of me dies.

Realy, this is a half baked port of a good game. Ever since this game came out I have been waiting to play it, I played the arcade version of Continum Shift once so I know it is a good game, but the way in which the port is programed disapoints me.
I can't even find a way to change the game's resolution, which might fix the issue, many games have a settings file which helps you configure it without opning the game, Guilty Gear XX Reload has it (and it is from the same developers) but this one doesn't and therefore there is no way to adjust the resolution, put the game on window mode in stead of fullscreen, or any of the things that may fix this issue. Whoever was behind the creation of this port did a craptacular work by making it as user friendly as Windows Vista.

I was offered a refund, which means I will never get to play this game in my life.

I will find a way to make Arc System works regret they made such a poor port.

[Updete]

I rejected the refund in order to keep the game in case the issue is fixed in the not so distant future.

If someone else experiences an issue similar to mine, inform GOG support, and in case it is not fixed by them, you might as well like to write here so that all instances of this issue are known by the comunity.

Same problem here. I will write to the support on sunday - writing on the weekend probably won't help much.

Leonardo: What suggestions did the support give you? I read in the Steam forums that some people had to add the game to the DEP exceptions list (Data Execution Prevention). Didn't work for me, but it might for you?

EDIT: When installing it to E:\GoG Games instead of C:\GoG Games I at least get a glimpse of a loading screen before it crashes. Though that might happen because E:\ is a normal HDD and C:\ is a SSD.

I also checked the Steam forums (I felt so guilty for doing so) and tried the DEP thing, I don't precisely remember what support told me, and the mail is buried bellow thousands of mails already, but I know something, nothing worked.

And until now things are still not working.

Quick update:

I had to reinstall Windows 8.1 today because it kept crashing.

So with a completly fresh new install I tried playing BlazBlue again.
It crashed because I had forgotten to install DirectX.
After I did it I was back to square one because the same thing as before happened: "Now loading..." was displayed (for quite a while, actually - though the HDD was busy at the time. I suppose that was the reason it took longer) and then "BlazBlue has stopped working."
Now, this can mean only one of two things:

1. Blazblue hates something in my hardware. Leonardo, do you have one of the following things:
a) Graphics Card: Nvidia GTX 770
b) Motherboard: Gigabyte H97-HD3
c) CPU: i5-4670
?

2. Blazblue hates one of the few things I installed prior to launching it. Avast!, Spybot or Logitech Setpoint - though it did not work when I tried a clean boot last time either...

Nothing matches at all,

As far as I remember I included my hadware specifications in this post.

Alright. I consider myself going crazy at this point.

Over the last few weeks I occasionaly started BlazBlue to see if it would run.
Nope, crash everytime.

Then I started it today and...it ran without any problems.
That completly kills my "It has to be my hardware"-theory.
On the other hand, I really don't know what I did to make it run - I installed a few games, but nothing relating to drivers.
The Nvidia Geforce Experience updated, but that thing isn't a driver.

I suspect Galactic Civilizations II or Awesomenauts - I installed those games via Steam and one of them might have installed some driver I was missing. Maybe Space Colony HD, though I doubt that.

So...yeah. Lesson: If it does not work, just try it again every now and then. o_O

Hopefully we will someday know what is it that makes it work or crash.