Yes, you may want to start looking into the PHP 5 exception model. Remember though that just because something is new doesn't mean that you must adopt it. Only adopt those features that you need and make sense in your domain.
That being said, I feel that exceptions are a good concept to grasp and even if you decide not to adopt them you will be all the better for the experience.
I would like to suggest that you read PHP: Exceptions - Manual:
PHP 5 has an exception model similar
to that of other programming
languages. An exception can be thrown,
and caught ("catched") within PHP.
Code may be surrounded in a try block,
to facilitate the catching of
potential exceptions. Each try must
have at least one corresponding catch
block. Multiple catch blocks can be
used to catch different classes of
exeptions. Normal execution (when no
exception is thrown within the try
block, or when a catch matching the
thrown exception's class is not
present) will continue after that last
catch block defined in sequence.
Exceptions can be thrown (or
re-thrown) within a catch block.
I would also encourage you to read What Is an Exception? (Note this is a Java tutorial but the concepts are universal)
When an error occurs within a method, the method creates an object and hands it off to the runtime system. The object, called an exception object, contains information about the error, including its type and the state of the program when the error occurred. Creating an exception object and handing it to the runtime system is called throwing an exception.
Edit: In order to implement a global exception handler (basically in order to establish a default exception handler that will handle previously unhandled exceptions) you will want to us the set_exception_handler
function.