I believe that the best way to use exceptions depends on which computer language you are using. For instance Java has a much more solid implementation of exceptions than C++.
If you are using C++, I recommend that you at least try to read what Bjarne Stroustrup (the inventor of C++) has to say about exception safety. Refer to appendix E of his book "The C++ programming language".
He spends 34 pages trying to explain how to work with exceptions in a safe way. If you do understand his advice then that should be all that you need to know.
