I\'ve seen the following code many times:
try
{
... // some code
}
catch (Exception ex)
{
... // Do something
throw new CustomException(ex);
Generally the "Do Something" either involves better explaining the exception (For instance, wrapping it in another exception), or tracing information through a certain source.
Another possibility is if the exception type is not enough information to know if an exception needs to be caught, in which case catching it an examining it will provide more information.
This is not to say that method is used for purely good reasons, many times it is used when a developer thinks tracing information may be needed at some future point, in which case you get try {} catch {throw;} style, which is not helpful at all.