I admit it: I don\'t bother with too much exception handling. I know I should do more but I can never wrap my head around where to start and where to stop. I\'m not being lazy.
Microsoft's Patterns & Practices team did a good job incorporating best practices of exception management into Enterprise Library Exception Handling Application Block
Event if wouldn't use Enterprise Library, I highly recommend you to read their documentation. P&P team describes common scenarios and best practices for exceptions handling.
To get you started I recommend read following articles:
ASP.NET specific articles: