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.
Start off with a global exception handler such as http://code.google.com/p/elmah/.
Then the question comes down to what kind of application are you writting and what kind of user experience do you need to provide. The more rich the user experience the better exception handling you'll want to provide.
As an example consider a photo hosting site which has disk quotas, filesize limits, image dimension limits, etc. For each error you could simply return "An error has occured. Please try again". Or you could get into detailed error handling:
etc. etc.
There is no one size fits all for exception handling.