And another good rule of thumb - never use exceptions to catch conditions that you can catch in code.
For example if you have a method divides 2 variables, don't use an exception to catch divide by zero errors, instead do the necessary checks beforehand.
Bad code example:
float x;
try {
x = a / b;
{
catch (System.DivideByZeoException) {
x = 0;
}
Good code example:
if (b == 0)
return 0;
Exceptions are generally expensive.