What factors should be taken into consideration when writing a custom exception class?

Question

When are custom Exception classes most-valuable?
Are there cases when they should or should not be used? What are the benefits?

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Answer 1

I'm a bit of a minimalist and will only create a custom exception if there is calling code that must explicitly react to the particular condition that occured. For all other situations I'll use the most appropriate .NET library exception. E.g. ArgumentNullException, InvalidOperationException