Handling exceptions globally is good for certain tasks only, such as logging errors or graceful exit of the application.
In all other cases, it is recommended that you handle the exception in the most relevant place. For example, if you make a web service call from your app and if the service is not available, you should handle that exception where you make the webservice call instead of catching it globally. This improves the readability of the code, and also it's not practical to do anything sensible at global level as you have very little information on where the exception originated. (Of course you have the stack trace, but its not readily available for programmatic manipulation)
However, you can add an application wide exception handler by attaching a handler to AppDomain.UnhandledException as also indicated in the comment by @Jesse
