Possible issues with catching unhandled exceptions in .Net

As a rule, in every application I write, I always implement both the Application.ThreadException and AppDomain.UnhandledException events, to catch exceptions which were not caught by a try..catch block. There are three reasons behind this:Present a custom failure message to the user (something like Twitter’s fail whale message) instead of the default ugly (and unclear) error dialog, i.e. “XXX.exe