Just about everyone uses them, but many, including me simply take it for granted that they just work.
I am looking for high-quality material. Languages I use are: Ja
The best paper ever written on the implementation of exceptions (under the hood) is Exception Handling in CLU by Barbara Liskov and Alan Snyder. I have referred to it every time I've started a new compiler.
For a somewhat higher-level view of an implementation in C using setjmp and longjmp, I recommend Dave Hanson's C Interfaces and Implementations (like Eli Bendersky).