Be a exceptional coder, handle exceptions gracefully

The good news about .NET Framework 2.0 is that unhandled exceptions, no matter where they come from, now cause termination of the app.

There are basically five ways I've identified so far that enable you to deal with UE's (Unhandled Exceptions):

1. Putting Application.Run() in try-catch block
2. Using Application.ThreadException event
3. Using AppDomain.UnhandledException event
4. Add registry entry to pop up JIT Debugger
5. Use ADPLUS in crash mode with debug symbols installed.

From Peter Bromberg's article Getting Better Information on Unhandled Exceptions

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