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Exception handling practices top level vs every function

I've seen several approaches of exception handling. Two most common patterns I've seen are:
try catch on every function, log the exception and rethrow
try catch on the top most level (Like main function), log the exception and rethrow
Which is a better practice if there is one? Or what situations would you choose one approach over the another?

This depends on your application and is a design choice, though option 1 is very messy. You should only catch exceptions you are prepared to handle in someway, not arbitrarily catching every one. In most languages the exception will have a stack trace for you to look at so logging at every level is unnecessary. When I say handle in some way that may be to log and rethrow, or it may be to log, notify the user of some error, and continue to run
As a side note, you should not be using exceptions as logic in your code. If you find yourself using try catch blocks as flow control then you should think of a redesign. Exceptions are just that, exceptional.

Option 1 is considered as bad practice and should be avoided, and option 2 is the best practice which you should follow.
Principle of exception handling is by default let exceptions throw naturally and catch them on the top level like option 2. Just only one case you should catch exception is you want to do some business logic based on exceptions. If you don't process business logic, don't catch.
More cons of option 1:
Lots of try-catch and re-throw makes your code less readable,
Think about catching exceptions in every methods and log them will make log file log the same exception info which is not necessary.

The practice I have seen most of the time is:
Catch those exceptions which you are ready to handle. For example, Insertion of duplicate primary key, catch it, and display an appropriate message to the user for entering something unique for the record.
For rest of the application, there will be no exception handling at libraries. So that if an exception occur it may get pop to the upper layer, where appropriate handling may be done.
You may see this article: Exception Handling Best Practices in .NET

I would usually avoid option 1 completely because i dont see the value of really logging every function that the exception passed through. You are mainly concerned usually about the place where the exception happened. There might be a case for knowing the exact flow as to how it got there but you can get that from the exceptions call stack.
The principle I use for handling exceptions is to catch them only if i am doing something with it. If the only purpose of catch is to rethrow, then there is no point in catching it.
However, if i do catch it, and then log it / wrap it with a custom specific exception / handle it for example, thats a good enough reason. I usually find that such tasks are not done in every function but most commonly at layer / tier boundaries

What does "Only catch exceptions you can handle" really mean?

I'm tasked with writing an Exception Handling Strategy and Guidelines document for a .NET/C# project I'm working on. I'm having a tough go at it. There's plenty of information available for how/when to throw, catch, wrap exceptions, but I'm looking for describing what sorts of things should go on inside the catch block short of wrapping and throwing the exception.
try
{
DoSomethingNotNice();
}
catch (ExceptionICanHandle ex)
{
//Looking for examples of what people are doing in catch blocks
//other than throw or wrapping the exception, and throwing.
}
Thanks in advance

It means exactly that. If you are expecting code you're running to throw an exception, and when that exception is thrown your code knows what went wrong and how to proceed, then catch the exception and handle it.
Basically, the rule exists to prevent anti-patterns like:
try
{
...
}
catch(Exception ex)
{
throw;
}
The catch here does nothing but add a speed bump to unwinding the call stack. If you don't actually want to do anything with the exception you're catching, you shouldn't even bother with the catch.
A related but far more valid case is where you don't care about the exception being thrown, but you need to clean up in all cases. In that case, skip the catch; you don't need it, just make it a try-finally block.
EDIT: To answer the question in the post, not just the subject, you could write a rule as follows: "Do not code a try-catch statement that does not do anything, or only rethrows the caught exception. All catch statements should perform some value-added action relating to the thrown exception."
For example, let's say you are trying to connect to a SQL Server instance using credentials supplied by the user when they log into your app. Dozens of things could go wrong, some of which you can't expect, some of which you should.
Server isn't responding - you can try again; perhaps call the connection method recursively in the catch, with a "retry counter" to break the otherwise infinite loop.
User failed authentication - show a friendly (or not-so-friendly, but concise and understandable) message in red on the dialog box.
User not authorized to connect to the specified DB - Depends on your security setup; in most offices, that's something you should e-mail the DBA about because it means he created the login but forgot to assign the proper rights.
Network not available: You can alert the user through an error on the login dialog or a new dialog, retry a couple of times, etc.
Division by zero - WTF? What could possibly cause a Div by Zero during a login? You're not expecting this exception, you have no clue what went wrong in this case and therefore can't continue running code, so don't catch it.
If anything goes wrong, you may want to log the message to a file or a shared resource for audit/security purposes. This should happen at lower levels if you want to continue execution, or higher levels if you're going to gracefully shut down afterward.
All of these examples involve first catching the exception of a known type and interrogating it to see what exactly went wrong, then performing some known action that can allow the program to continue execution. The object is to prevent the application from crashing and burning when something goes wrong that you know could go wrong, but know how to keep the program running in that case.
The basic rules for catching exceptions:
If you aren't expecting an exception, don't catch one.
If you can't or don't want to continue execution of code after receiving an exception, whether you know it can happen or not, don't catch it.
If you are expecting the exception to occur, and know-how to continue executing code when it happens (at least for a while), then catch and perform any special actions you need in order to do so.
NEVER trap exceptions (an empty catch block); that causes applications to fail silently in even more unpredictable ways.
NEVER leave catch-and-rethrow (a catch block with only a rethrow) in production code. They can sometimes be useful when debugging as they allow you to identify specific segments of code that are failing, but in production code, they're just a speed bump to throwing out or actually dealing with the exception.

I think the basic idea underlying this common piece of advice is to avoid scenarios like this:
try
{
SomeImportantResource = GetSomeImportantResource();
SomeOtherImportantResource = GetSomeOtherImportantResource();
}
catch (Exception ex)
{
SomeGlobalErrorHandlingMechanism(ex);
}
I've worked with developers who, when confronted with a bug, would simply wrap the offending code in a try/catch block and say, "I fixed the bug." The problem in scenarios like the above example is that by simply catching an exception and not fixing the problem that caused it, you're liable to undermine the solidity of your program. Above, what the catch has done is made us uncertain whether SomeImportantResource and SomeOtherImportantResource were ever initialized properly. It seems likely that there could be code elsewhere in the program that requires for these to be initialized, in which case, we've just introduced a bug by "fixing" a bug.
So I think the standard wisdom is to only try to deal with an exception if you can recover from it in such a way that it does not compromise any other code elsewhere in your program.
Or, better than that: don't catch the exception and make some feeble attempt (or non-attempt) to "handle" it; figure out what caused it and fix that problem. Obviously this is not always possible, but it is possible a lot more often than it should be.

Consider if you had an application like OneNote that lets you store your files on a shared network drive, but in the event the network is unavailable, then it uses local storage temporarily until the main storage is available.
If your program got an exception while interacting with the files, then you could retry the action with the local storage.
This is an example where you have a specific program behavior you want, and accomplish it by how you handle the exception. Generally, you should try to find a way to accomplish your goal without using exception handling, such as in the above exmple, you could always check to see if the file is available before attempting to operate on it. That way you can just code it as an "if/else" instead of a "try/catch". However, if you did that, there is still always the chance in the above case that someone may lose access to a file in the middle of an operation, such that regardless of whether you checked in advance, you still might get an exception that you can handle gracefully. So you'd probably refactor your else block into a function that is both called from the else and the catch, so that you can gracefully fallback to local storage in either case.
I also often include logging if there is no security issue with what I'm logging, and a rethrow as you mentioned, and my logging includes more descriptive information and context information, maybe some local values, which make debugging easier. I always strive to have log files so detailed that I can determine the cause of a problem without having to reproduce on my machine. I hate hearing programmers make the "I can't reproduce it" excuse. You don't have to reproduce it. If your logging is adequate then there is no need to reproduce it.
When an exception trickles up via rethrow's all the way to your GUI layer, then at that point is where you catch it and do not rethrow it, but instead display a message to the user indicating that an unexpected error occurred, and usually exit the application. You might give them an opportunity to save work, but maybe automatically making a backup of the file being overwritten, as an unhandled exception is something you never coded for, meaning something might be corrupt, and you might be saving a bad file, yet leading the user to believe they are saving their work. This is ultimately the reason many program opt to kill themselves if something unexpected occurs, as from that point on who knows what state the program might be in, and something as simple as saving some rows in a database might have serious consequences and hose alot of data.

If you can perform an action when you catch an exception that is helpful in some way (such as executing a block of code that will perform the function attempted in the try statement, but does it in a different, but perhaps less efficient way, or simply informing the user that their action couldn't be performed), then you should catch it and do so. If you are simply logging the exception to track down the problem later, then you should rethrow the exception throw; (NOT throw ex;), in case there is another block of code that can handle that type of exception.
It's also acceptable to catch an exception to wrap the caught exception in your own exception that may make more sense to the calling function.

Some examples:
Log the exception and just carry on
Retry the thing that went wrong
Try another method of doing what you were trying to do
It all depends on what went wrong. The point is, just catching and re-throwing is of no use to anyone.

If your code can gracefully handle a specific type of exception, catch it and handle it, and then let your code keep going. If not, let the exception propagate up, because it may be caught at a higher level or it may be something really wrong that you shouldn't be catching as it might mask the error.

You shouldn't catch an exception you can't handle, but you can catch exceptions that you might be able to handle:
try
{
DoSomethingNotNice();
}
catch (ExceptionIMightBeAbleToHandle ex)
{
if(iCanHandle(ex))
thenHandle(ex);
else
throw;
}
Note that using throw by itself is supposed to preserve stack trace info.
Typical things you can handle gracefully would be a FileNotFoundException.

The catch block should teardown anything that may have been opened for use in the try and due to the exception being thrown not closed down properly. Database connections and file access are the ones that usually need closing down (though proper use of a using block can handle this)
Once that has been done you can use throw; to chuck the exception up to the next level
Alternatively you might want to wrap your current exception inside a new exception more relevant to the current method
catch(LowLevelException ex){
throw new HighLevelException("argh bad things happened!",ex);
}

Coming late to the game but the MS recommended way to handle errors globally in .net core is middleware.
Also you can use a switch statement like this to make sure you re-throw errors you can't handle.
Trying to keep my answer as general as the question ;) but I can provide some code if needed.

C# question - how to populate a catch statement with the specific possible exceptions from the code in the try?

I'm using VS2008 and have ReSharper too.
My question is how can I automate the creation of a try/catch block for which the catch is specifically populated with the possible exception from the try block? (i.e. not just put in an Exception ex)
Background - Trying to help follow the best practice I read of "Don't catch (Exception) more than once per thread. Good code throws exceptions as needed, and handles only the exceptions it knows how to handle."
thanks

To do that I think you would need a tool that recursively walks your code (and the code it calls, and so forth), and figures out which exceptions could possibly be thrown.
Redgate has a tool that does this. However, I think you probably have a fair idea in your code of what possible exceptions it might throw, and the BCL has decent documentation that says what exceptions might possibly be thrown by any given method you call in the BCL, so it's probably not too hard at the local level to figure out what you need to handle and what you don't.

From what I've read, this was one of the major reasons why the C# team chose not to implement checked exceptions similar to Java - they wanted to discourage this kind of exception non-handling.
There is no means of intrinsically automating such an operation in Visual Studio, nor should you try; if you don't know how to handle a particular exception, then don't catch it just because the library might throw it.
In addition, there are all sorts of special-case system exceptions that might be thrown by the framework, like OutOfMemoryException, BadImageFormatException, AppDomainUnloadedException and so on, that aren't directly thrown by the particular method you're invoking but bubble through it from the .NET runtime. If you wanted to catch all possible exceptions then you'd have to catch these as well, but for the most part it would be a fruitless exercise since there's not much you can do when you get a StackOverflowException - and again, you generally shouldn't attempt to.
In conclusion, the best way to write exception handlers for library methods (and any other methods) is to read the documentation on said method, which will tell you what exceptions you can expect it to throw, and then catch only the ones you actually expect and/or know how to handle. Do not catch the generic System.Exception unless you want spectacular crashes and mysterious data corruption late into the production cycle.

Would you ever NOT catch an exception, or throw an exception that won't be caught?

I've dealt with instances where I would throw/rethrow an exception knowing that the code surrounding it would catch the specific exception. But is there any time you would want to throw an exception, knowing that it wouldn't be caught?
Or at least, NOT catch an exception?
Exceptions immediately halt the application unless their handled right? So I guess I'm asking if you would ever want to purposely let your application die?

If your application is primarily going to be used by other clients and is not standalone, it generally makes sense to throw exceptions if a condition arises that you don't know how to (or don't want to) handle, and there's no sensible way for you to recover from it. Clients should be able to decide how they want to handle any exceptions that you might throw.
On the other hand, if your application is the endpoint, throwing an exception essentially becomes a notification mechanism to alert people that something has gone terribly wrong. In such cases, you need to consider a few things:
How important is the continued running of the application? Is this error really unrecoverable? Throwing an exception and terminating your program is not something you want to be doing on the space shuttle.
Are you using exceptions as a proxy for real logging? There's almost never a reason to do this; consider a real logging mechanism instead. Catch the exception and have the logger work out what happened.
What are you trying to convey by throwing the exception yourself? Ask yourself what the value in throwing a new exception is, and consider carefully whether there isn't a better way to do what you want.
Not catching an exception may leave resources in a bad state. If you don't gracefully exit, things are generally not cleaned up for you. Make sure you understand what you're doing if you need to do this -- and if you're not going to catch it, at least consider a try-finally block so you can do some tidying up.

There's a very good rule that I came across a while ago:
Throw an exception when a method can't do what its name says it does.
The idea is that an exception indicates that something has gone wrong. When you are implementing a method, it is not your responsibility to be aware of whether it will be used correctly or not. Whether the code using your method catches the exception or not is not your responsibility, but the responsibility of the person using your method.
Another rule to follow is:
Don't catch an exception unless you know what you want to do with it.
Obviously, you should include cleanup code in a try...finally block, but you should never just catch an exception just for the sake of catching it. And you should never swallow exceptions silently. While there are occasions when you may want to catch all exceptions (e.g. by doing catch (Exception ex) in C#), these are fairly uncommon and generally have a very specific technical reason. For example, when you are using threads in .NET 2.0 or later, if an exception escapes from your thread, it will cause the entire application domain to unload. In these cases, however, at the very minimum you should log the exception details as an error and provide an explanation in the comments.

Sure. For example, if you're trying to load some bytes into a string in Java:
try {
String myString = new String(byteArray, "UTF-8");
} catch (UnsupportedEncodingException e) {
// Platform doesn't support UTF-8? What is this, 1991?
throw new RuntimeExceptione(e);
}
In this case, there is no graceful degradation, the platform simply can't support the operation desired. You can check for this condition at initialization all you want, but the constructor for String still throws this exception, and you have to deal with it. Either that, or use Charset.forName() :)

Generally, and certainly in early iterations of your application, don't catch the exception. More often than not, the recovery from an exception will require a business rule of some sort, and, more often than not, those business rules are not defined for you. If you "handle" the exception instead of letting the application die then you will most likely be inventing business rules for your customer. Not good.
The general pattern of catching every exception just for the sake of catching it has caused me more headaches than I can count. It usually happens that someone puts some sort of generic exception handling code throughout the application, which inevitably ends up hiding a bug or creating some behavior that is unwanted. (incidentally, catching and then not rethrowing is even worse.)
So, I'd suggest that you ask instead: "When should I catch an exception?"

Here's the thing ... it is about "layers", or "encapsulation", or "low coupling". At some place in your codebase, you're writing a method to do something. Say it's a public method. Therefore, it should not assume much or anything about the caller ... rather, it should merely do the job it is supposed to do, regardless of who is calling it and what context the caller is in.
And if, for some reason, it cannot complete its job, then it needs to tell the caller "Sorry, I couldn't do that, and here's why". Exceptions are an excellent mechanism to let it tell the caller that (not the only mechanism, but the best mechanism I've ever seen for most cases).
So, when you throw the exception, you have no idea whether it will be caught or not ... because you're exposing a public method and you have no idea who might choose to call it and why.
The catching of the exception is the job of the "context". For example, say you're writing a library with public methods that might throw exceptions. Then, say you're using that library from a Windows Forms app. The Windows Forms app might catch exceptions and show a message box to the user.
But later, you might use the same library from a Windows Service. The Service would be more likely to catch the exception, log it, return an error to the original caller, but keep running so it can process further requests.
So the exception is like a contractual agreement between the caller and the provider. The provider says, "I'll either do the job or tell you why I can't. What you do from there is your own business." And the caller says, "OK, if you can't do the job, just tell me why, and I'll decide what to do in that case."

But is there any time you would want to throw an exception, knowing that it wouldn't be caught?
I would say that if you're manually throwing an exception, most of the time you don't know if it will be caught. If you knew it would be caught you could just handle it yourself rather than throwing the exception in the first place.
To be fair, I suppose that depends in part on the kind of programming you're doing, and sometimes the same programmer ends up building both the library and the code that consumes said library.
Would you ever NOT catch an exception?
If you didn't expect/weren't aware an exception could be thrown. But putting that aside and assuming you are aware of the exception, sometimes you know about it at one tier but know the next tier up is the more appropriate place to handle it.

It depends on the type of application. Web applications can continue running even after exceptions have bubbled up to the execution context.
It is common practice to 'throw/rethrow' an exception if you catch the exception at a level where it can't be dealt with. But, you would almost always add context to the issue, at the very least add some logging at the higher level to say that it was caught and rethrown.
for example
A calls B calls C (throws exception)
B catches/rethrows
A catches.
In this case, you would want B to add some logging so that you can differentiate between B generating and throwing an error, and C generating and throwing an error. That would allow you a greater ability to debug and fix problems later.
In general you will almost NEVER want an exception to kill your program. The best practice is to catch the except and exit gracefully. This allows you to save any currently open information and release resources that are being used so they don't become corrupted. If you intend to exit, you can create your own 'core-dump' information report that includes the things you were doing when you caught the fatal exception.
If you let the exception kill your process you are eliminating your chance to get custom tailored crash information, and you are also skipping the part where you provide the user with a friendly error message and then exit.
So, I would recommend ALWAYS catching exceptions, and never voluntarily letting them run amok in your program.
EDIT
If you are writing a library, you have to choose ahead of time whether your function will throw an exception, or be exception safe. In those cases, sometimes you will throw an exception and have no idea if the calling party will catch it. But in that case, catching it is not your responsibility, as long as the api declares that the function could throw exceptions.
(I'm looking for a word that means 'could possibly throw exception'... anyone know what it is? It's going to bug me all day.)

Firstly, there absolutely are situations where it is better to not catch an exception.
Sometimes, an exception can sometimes tell you that your program is in an unknown state. There are a number of exceptions where this is pretty much intrinsically true given the exception type. A NullReferenceException essentially tells you "there is a bug". And by catching such an exception, you may hide the bug, which sounds good in the short term, but in the long term you'd be happier to fix it. The product may not crash, but it certainly won't have the expected behaviour.
But this is also true for exception types we invent for ourselves. Sometimes, the fact that exception A has been thrown should be "impossible" - and yet it has happened, so there's a bug.
Also, something very important happens when you catch an exception: the finally blocks for the whole call stack inside the try block (and anything it calls) will be executed. What do those finally blocks do? Well, anything. And if the program is in an unknown state, I really do mean anything. They could erase valuable customer data from the disk. They could throw more exceptions. They could corrupt data in memory, making the bug impossible to diagnose.
So when an exception indicates an unknown state, you don't want to run any more code, so whatever you do, don't catch the exception. Let it fly past, and your program will terminate harmlessly, and Windows Error Reporting will be able to capture the state of the program as it was when the problem was originally detected. If you catch the exception, you will cause more code to execute, which will screw up the state of the program further.
Secondly, should you throw an exception knowing it won't be caught? I think that question misunderstands the nature of reusable methods. The whole idea of a method is that it has a "contract" that it follows: it accepts certain parameters and returns a certain value, plus also it throws certain exceptions under certain conditions. That's the contract - it's up to the caller what they do with it. For some callers, exception A might indicate a recoverable condition. For other callers, it might indicate a bug. And from what I said above, it should be clear that if an exception indicates a bug, it must not be caught.
And if you're wondering what this means for the Microsoft Enterprise Library's Exception Handling Block: yes, it's pretty broken. They tell you to catch (Exception x) and then decide whether to rethrow based on your policy; too late - the finally blocks have already executed by that point. Don't do that.

You probably wouldn't want an uncaught exception anywhere where the end-users can see it, but it is often acceptable to let clients of your API (other programmers) decide how to handle exceptions.
For example, suppose you are designing a Java class library. You expose a public method that takes in a String. In your application, a null input value would cause an error. Instead of handling the error yourself, it would be acceptable to check for a null value, then throw an IllegalArgumentException.
You must, of course, document that your method throws this exception in this circumstance. This behavior becomes part of your method's contract.

It depends on what you mean by 'being caught'. Something, somewhere eventually catches the exception whether it be the underlying OS or something else.
We have a workflow system that executes job plans comprised of individual jobs. Each job runs a unit of code. For some of the exceptions, we don't want to handle them in the code but throw it up the stack so that the external workflow system catches it (which happens completely outside of the thrower's process).

If you're writing the entire application, then your reasons are your own. I can think of a few situations where you might want to throw the exception and let the app die, most of them are not very good reasons though.
The best reason is usually when debugging. I frequently disable exceptions while debugging to allow me to know better where something is failing. You can also just turn on thrown exception breaks in the debugger if you're running it on a machine with the debugger.
Another possible reason is when continuing after an exception is thrown doesn't make sense or would result in possible irrecoverable data corruption or worse (think Robots with laser beams, but then you should be damn sure your applicaiton deals with these situations IMO, crashing the program is just the lazy way).
If you're writing API code, or Framework code that you won't use yourself, then you have no idea if someone will catch your exceptions.

Yup, it's my ONLY opportunity to slap the developer consuming the service/object to tell them "Ur dO1n it WrOnG!!!!".
That and getting rid of possibilities that you don't want to permit or are seemingly "impossible". Apps that catch all exceptions and continue are just a walled garden surrounded by chaos.

If I need a moderately large system that is somehow processing data in what I believe to be a consistent manner.
And
Somewhere along the line, I detect that the application's state has become inconsistent.
And
The system doesn't (yet) know how to fix the inconsistency and recover gracefully
Then, yes, I would throw an exception with as much detail as possible and cause the application to die as quickly as possible, to avoid doing any further harm to the data. If it can be recovered, it'd be important not to exacerbate the problem by trying feebly to cover up the mess.
Later along the line, once the chain of events that led to the inconsistency is better understood, I higher facility can catch that exception, repair the state, and continue with minimal interruption.

A library will often throw exceptions based on defensive programming checks, should a condition arise that shouldn't have been allowed to arise by the application code. Applications code will often be written such that most of those invalid conditions will never arise, and therefore the exceptions will never be thrown, so there's no point catching them.
Depending on language (I'm mostly thinking in terms of C++ rather than C#, and not that clear what the differences are) the effect of an uncaught exception actually being thrown is probably the same as what used to be done in the days before exceptions were invented. A common policy for defensive programming in C libraries, for example, was to terminate the program immediately with an error message.
The difference is that if the exception throw does turn out to be possible (hopefully this will be discovered through unit testing), it is often relatively easy to add an exception handler that can recover from the problem in a more constructive way. You don't have to rewrite the library, or add complex checks in application code to ensure the condition cannot arise before the exception-throwing call is made.
I have quite a few exception throws that are never caught. They are all for defensive purposes, and while being uncaught is bad for an exception that does happen, this only ever happens during development and testing, for error conditions I failed to consider in the application code so far. And when it happens, it is unusual for the fix to be awkward - no need for a large-scale refactoring, no need for the applications code to be massively complicated with error condition checks, just a catch clause with a relatively simple recovery or "I'm sorry, Dave, I'm afraid I can't do that." without failing out the whole app.

Exception handling using an HttpModule

We're reviewing one of the company's system's exception handling and found a couple of interesting things.
Most of the code blocks (if not all of them) are inside a try/catch block, and inside the catch block a new BaseApplicationException is being thrown - which seems to be coming from the Enterprise Libraries.
I'm in a bit of a trouble here as I don't see the benefits off doing this. (throwing another exception anytime one occurs)
One of the developers who's been using the system for a while said it's because that class's in charge of publishing the exception (sending emails and stuff like that) but he wasn't too sure about it.
After spending some time going through the code I'm quite confident to say, that's all it does is collecting information about the environment and than publishing it.
My question is:
- Is it reasonable to wrap all the code inside try { } catch { } blocks and than throw a new exception? And if it is, why? What's the benefit?
My personal opinion is that it would be much easier to use an HttpModule, sign up for the Error event of the Application event, and do what's necessary inside the module. If we'd go down this road, would we miss something? Any drawbacks?
Your opinion's much appreciated.

Never1 catch (Exception ex). Period2. There is no way you can handle all the different kinds of errors that you may catch.
Never3 catch an Exception-derived type if you can't handle it or provide additional information (to be used by subsequent exception handlers). Displaying an error message is not the same as handling the error.
A couple of reasons for this, from the top of my head:
Catching and rethrowing is expensive
You'll end up losing the stack trace
You'll have a low signal-to-noice ratio in your code
If you know how to handle a specific exception (and reset the application to pre-error state), catch it. (That's why it's called exception handling.)
To handle exceptions that are not caught, listen for the appropriate events. When doing WinForms, you'll need to listen for System.AppDomain.CurrentDomain.UnhandledException, and - if your doing Threading - System.Windows.Forms.Application.ThreadException. For web apps, there are similar mechanisms (System.Web.HttpApplication.Error).
As for wrapping framework exceptions in your application (non-)specific exceptions (i.e. throw new MyBaseException(ex);): Utterly pointless, and a bad smell.4
Edit
1 Never is a very harsh word, especially when it comes to engineering, as #Chris pointed out in the comments. I'll admit to being high on principles when I first wrote this answer.
2,3 See 1.
4 If you don't bring anything new to the table, I still stand by this. If you have caught Exception ex as part of a method that you know could fail in any number of ways, I believe that the current method should reflect that in it's signature. And as you know, exceptions is not part of the method signature.

If I am reading the question correctly, I would say that implementing a try / catch which intercept exceptions (you don't mention - is it catching all exceptions, or just a specific one?) and throws a different exception is generally a bad thing.
Disadvantages:
At the very least you will lose stack trace information - the stack you will see will only extend to the method in which the new exception is thrown - you potentially lose some good debug info here.
If you are catching Exception, you are running the risk of masking critical exceptions, like OutOfMemory or StackOverflow with a less critical exception, and thus leaving the process running, where perhaps it should have been torn down.
Possible Advantages:
In some very specific cases you could take an exception which doesn't have much debug value (like some exceptions coming back from a database) and wrap with an exception which adds more context, e.g id of the object you were dealing with.
However, in almost all cases this is a bad smell and should be used with caution.
Generally you should only catch an exception when there is something realistic that you can do in that location- ie recovering, rolling back, going to plan B etc. If there is nothing you can do about it, just allow it to pass up the chain. You should only catch and throw a new exception if there is specific and useful data available in that location which can augment the original exception and hence aid debugging.

I'm from the school of thought where try/ catch blocks should be used and exceptions not rethrown. If you have executing code which is likely to error then it should be handled, logged and something returned. Rethrowing the exception only serves the purpose to re-log later in the application life cycle.
Here's an interesting post on how to use a HttpModule to handle exceptions: http://blogs.msdn.com/rahulso/archive/2008/07/13/how-to-use-httpmodules-to-troubleshoot-your-asp-net-application.aspx and http://blogs.msdn.com/rahulso/archive/2008/07/18/asp-net-how-to-write-error-messages-into-a-text-file-using-a-simple-httpmodule.aspx

Check out ELMAH. It does what you're talking about. Very well.
When I create libraries I try to always provide a reduced number of exceptions for callers to handle. For example, think of a Repository component that connects to a sql database. There are TONS of exceptions, from sql client exceptions to invalid cast exceptions, that can theoretically be thrown. Many of these are clearly documented and can be accounted for at compile time. So, I catch as many of them as I can, place them in a single exception type, say a RepositoryException, and let that exception roll up the call stack.
The original exception is retained, so the original exception can be diagnosed. But my callers only need to worry about handling a single exception type rather than litter their code with tons of different catch blocks.
There are, of course, some issues with this. Most notably, if the caller can handle some of these exceptions, they have to root around in the RepositoryException and then switch on the type of the inner exception to handle it. Its less clean than having a single catch block for a single exception type. I don't think thats much of an issue, however.

Sounds like the exception that is thrown should not have been implemented as an exception.
Anyway, I would say that since this BaseApplicationException is a general all-purpose exception, it would be good to throw exceptions that are more context-specific. So when you are trying to retrieve an entity from a database, you might want an EntityNotFoundException. This way when you are debugging you do not have to search through inner exceptions and stack traces to find the real issue. If this BAseApplicationException is collecting information on the exception (like keeping track of the inner exception) then this should not be a problem.
I would use the HttpModule only when I could not get any closer to where the exceptions are actually happening in code. You do not really want an HttModule OnError event that is a giant switch statement depending on BaseApplicationexception's error information.
To conclude, it is worth it to throw different exceptions when you can give more specific exceptions that tell you the root of the problem right off the bat.

From my experience, catch the exception, add the error to the Server (?) object. This will allow .NET to do what ever it needs to do, then display your exception.