Top 5 Answer for Visual Studio: How to break on handled exceptions?
With a solution open, go to the Debug - Exceptions (Ctrl+D,E) menu option. From there you can choose to break on Thrown or User-unhandled exceptions.
EDIT: My instance is set up with the C# "profile" perhaps it isn't there for other profiles?
There is an 'exceptions' window in VS2005 ... try Ctrl+Alt+E when debugging and click on the 'Thrown' checkbox for the exception you want to stop on.
Took me a while to find the new place for expection settings, therefore a new answer.
Since Visual Studio 2015 you control which Exceptions to stop on in the Exception Settings Window (Debug->Windows->Exception Settings). The shortcut is still Ctrl-Alt-E.
The simplest way to handle custom exceptions is selecting "all exceptions not in this list".
Here is a screenshot from the english version:
Here is a screenshot from the german version:
From Visual Studio 2015 and onward, you need to go to the "Exception Settings" dialog (Ctrl+Alt+E) and check off the "Common Language Runtime Exceptions" (or a specific one you want i.e. ArgumentNullException) to make it break on handled exceptions.