I am switching from plain mysql in php to PDO and I have noticed that the common way to test for errors is using a try / catch combination instead of if / else combinations.
The advantage of try/catch, and exceptions in general, is more for the people developing libraries like PDO. They allow a system developer to handle undefined situations or unexpected results in a quick and easy way. Take a database connection. What should a system do if the database can't be reached. Should it halt execution? Try again? Throw a warning and continue? The system developer can't know what you'll need it to do, they they throw an exception, which you'll later catch and handle.
The advantage for you, as a consumer of the system is rather than getting some vague error code back, or a simple boolean false that it failed, you get an Exception object which will
Be named in such a way that it's more obvious what went wrong (If I remember right, PDO only has one Exception type, but other systems contain multiple exception types for different kinds of errors)
May/should contain methods and properties which can help you figure out why the exception was thrown
That's the theory anyway. There are lots of smart people who claim Exceptions are the way to go. There are also lots of smart people who think Exceptions are the devil, and a crutch for lazy system developers. There is nothing resembling consensus on this issue.