This is a huge topic with lots of unneeded controversy (people with loud voices giving bad info!) If you're willing to deal with that, follow s1mm0t's advice, it is mostly agreeable.
However if you want a one-word answer, put them in the PL. Serious. If you can get away with it put your error handling in a global exception handler (all errors should log and give a code to look up the log in production for security reasons (esp if web), but give the full details back during development for speed reasons).
Edit: (clarification) you have to deal with some errors everywhere - but this is not an 'every function' norm. Most of the time let them bubble up to the PL and handle .NET's global error with your own code: log the full call stack from there via a common routine that is accessible from all 3 layers via event handlers (see EDIT at bottom of message). This means you will not have try/catch sprinkled thru all your code; just sections you expect and error and can handle it right there, or, non-critical sections, with which you log the error and inform the user of unavailable functionality (this is even more rare and for super-reliable/critical programs)
Aside from that, when working with limited-resource items, I often use the 'using' keyword or try/finally/end try without the catch. for multithreading lock/mutex/re-entry prevention flags/etc. you also need try/finally in ALL cases so your program still works (especially stateful apps).
If you're using exceptions improperly (e.g., to deal with non-bugs when you should be using the IF statement or checking it an iffy operation will work before you try it), this philosophy will fall apart more.
A side note, in thick client apps especially when there is the possibility of losing significant amounts or the users' input, you may be better with more try/catches where you attempt to save the data (marked as not-yet-valid of course).
EDIT: another need for at least having the logging routine in the PL - this will work differently depending on the platform. An app we're working on shares the BLL/DAL with 3 PL versions: an ASP.Net version, a winforms version, and a console app batch mode regression testing version. The logging routine that is called is actually in the BLL (the DAL only throws errors or totally handles any it gets or re-throws them). However this raises an event that is handled by the PL; on the web it puts it in the server's log and does web-style error message display (friendly message for production); in WinForms a special message window appears with tech support info, etc. and logs the error behind the scenes (developers can do something 'secret' to see the full info). And of course in the testing version it is a much simpler process but different as well.
Not sure how I'd have done that in the BLL except for passing a parameter 'what platform,' but since it doesn't include winforms or asp libraries that the logging depends on, that still would be a trick.