It rethrows the exact same error, you gain nothing by this.
Sometimes you can use the catch method to do some logging or something without interupting your exception like this:
catch (Exception) {
myLogger.Log(LogLevels.Exception, "oh noes!")
throw;
}
I initially mistakingly thought this would unwind your stack, but this would only be if you would do the following:
catch (Exception err) {
throw err;
}