If you throw an exception without a variable (the second example) the StackTrace will include the original method that threw the exception.
In the first example the StackTrace will be changed to reflect the current method.
Example:
static string ReadAFile(string fileName) {
string result = string.Empty;
try {
result = File.ReadAllLines(fileName);
} catch(Exception ex) {
throw ex; // This will show ReadAFile in the StackTrace
throw; // This will show ReadAllLines in the StackTrace
}