I understand that \"Exceptions are for exceptional cases\" [a], but besides just being repeated over and over again, I\'ve never found an actual reason for this fact.
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A user entering 'bad' input is not an exception: it's to be expected.
Exceptions should not be used for normal control flow.
In the past many authors have said that Exceptions are inherently expensive. Jon Skeet has blogged contrary to this (and mentioned a few time in answers here on SO), saying that they are not as expensive as reported (although I wouldn’t advocate using them in a tight loop!)
The biggest reason to use them is ‘statement of intent’ i.e. if you see an exception handling block you immediately see the exceptional cases which are dealt with outside of normal flow.