Not a pure ASP.NET thing, but ...
I was trying to use either a) nested SELECT or b) WITH clause and just could not get it to work, but people who were obviously more knowledgeable (including someone I work with) told me the syntax was fine. TURNS OUT ...
Was not able to use either of those with OLEDB.
OLEDB query to SQL Server fails
(Also, I was bit by the response.redirect() in the try ... catch 'feature' mentioned in the OP! Great thread!)