It's tempting to do this but ultimately, it depends on the situation.
If you want the program to crash rather than run the risk of running in a bad or weird state, then by all means throw an exception.
If you REALLY don't care (think hard about this one) and only need to note the exception, then wrapping in try/catch blocks make perfect sense.
If you want to give all of the event-handlers a chance to run before crashing (e.g, maybe some of the handlers release resources), then it requires a bit more effort...