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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There is one important other reason than the ones mentioned already:
If you use exceptions only for exceptional cases you can run in your debugger with the debugger setting "stop when exception is thrown". This is extremely convenient because you drop into the debugger on the exact line that is causing the problem. Using this feature saves you a fair amount of time every day.
In C# this is possible (and I recommend it wholeheartedly), especially after they added the TryParse methods to all the number classes. In general, none of the standard libraries require or use "bad" exception handling. When I approach a C# codebase that has not been written to this standard, I always end up converting it to exception-free-for-regular cases, because the stop-om-throw is so valuable.
In the firebug javascript debugger you can also do this, provided that your libraries don't use exceptions badly.
When I program Java, this is not really possible because so many things uses exceptions for non-exceptional cases, including a lot of the standard java libraries. So this time-saving feature is not really available for use in java. I believe this is due to checked exceptions, but I won't start ranting about how they are evil.