Although catching all exceptions without the plan to properly handle them is surely a bad practice, I think that an application should fail in some graceful way. A crash should not scare the user to death, and at least it should display a description of the error, some information to report to the tech support stuff, and ideally a button to close the application and restart it. In an ideal world, the application should be able to dump on disk the user data, and then try to recover it (but I see that this is asking too much).
Anyway, I usually use:
AppDomain.CurrentDomain.UnhandledException
