Should a business rule violation throw an exception?
Because of the way I do my validation and my use of LINQtoSQL for ORM, yes. If an entity fails validation on a business rule during the OnValidate method, the only way to notify the calling code is to throw an Exception. In this case, I throw a custom DataValidationException. Using the OnValidate method hook in a partial class implementation of the entity makes it possible for me to enforce validation on update/insert so only valid data gets saved to the database.
EDIT I should make it clear that I typically do validation of user input at the client so the persistence layer validation is typically more insurance and rarely, if ever, fails. I don't handle the client-side validation as exceptions, but rather with conditional logic.