There are some .NET methods which throw an extra ordinary amount of exceptions (There is at least one which can throw more than 500 different types of exception), this can make it difficult when choosing which ones to handle.
When I use the tool I do not catch all exceptions thrown by every method, some of the exceptions will be caused by one off start up code and probably don't need to be handled every time you call a function.
The value for the tool for me is allowing me to choose which exceptions I really want to handle rather than handing code off to a tester and them coming back, normally, thanks to sods law, a few hours before release, having done somthing which caused an exception I didn't expect.
I normally have Reflector open at the same time as using the tool and then look at the stack trace the program reports in reflector to understand when and if the exception will be thrown and then make a decision on if I want to deal with it there, somewhere else or if it is highly unlikely ever to be thrown in which case crashing hard and fast might be the best option.
Hope this helps a little,
Head of DBA Tools
Red Gate Software Ltd