If you're using Word 2007, the facility is still there (there's an address
book button above the address area in the Envelopes dialog box) but you have
to be using an Address book that Word can work with (typically Outlook
Contacts folders, but it could be another MAPI-compliant address book).
Unfortunately, Word cannot get its addresses from the Windows Address Book
in Outlook Express or its Vista replacement, "Windows Contacts". I suppose
copying/pasting an address from your Address book may still be simpler than
retyping it if you don't have to work too hard opening/closing/shuffling
windows around to do it.