The general rule of thumb is that you only catch an exception if you can actually do something about it. So at the Business or Data layer, you would only catch the exception in situation's like this:
try
{
this.Persist(trans);
}
catch(Exception ex)
{
trans.Rollback();
throw ex;
}
My Business/Data Layer attempts to save the data - if an exception is generated, any transactions are rolled back and the exception is sent to the UI layer.
At the UI layer, you can implement a common exception handler:
Application.ThreadException += new ThreadExceptionEventHandler(Application_ThreadException);
Which then handles all exceptions. It might log the exception and then display a user friendly response:
static void Application_ThreadException(object sender, ThreadExceptionEventArgs e)
{
LogException(e.Exception);
}
static void LogException(Exception ex)
{
YYYExceptionHandling.HandleException(ex,
YYYExceptionHandling.ExceptionPolicyType.YYY_Policy,
YYYExceptionHandling.ExceptionPriority.Medium,
"An error has occurred, please contact Administrator");
}
In the actual UI code, you can catch individual exception's if you are going to do something different - such as display a different friendly message or modify the screen, etc.
Also, just as a reminder, always try to handle errors - for example divide by 0 - rather than throw an exception.