Wumpus (aka Jeff Atwood) published some cool exception handling stuff years ago (it may have even been .net 1.1 days) but it is quite good and easy to use (and will convert to newer version of .net with success.) I am using it with an app I am writing...and since you get full source you can extend it easily.
Here is a link...
http://www.codeproject.com/KB/exception/ExceptionHandling.aspx
Oh yeah...the following link was the same library as above converted to c# and extended a bit...so choose your flavor.
http://www.codeproject.com/KB/exception/ErrorLoggingLibrary.aspx
Seth