The questions says everything, take this example code:
<ul id="css-id">
<li>
<something:CustomControl ID="SomeThingElse" runat="server" />
<something:OtherCustomControl runat="server" />
</li>
</ul>
Now if an error gets thrown somewhere inside these controlls (that are located in a master page) they will take down the entire site, how would one catch these exceptions?