There are three reasons behind this:
Present a custom failure message to the user (something like Twitter’s fail whale message) instead of the default ugly (and unclear) error dialog, i.e. “XXX.exe has encountered a problem and needs to close. We are sorry for the inconvenience.“
Log the exception so it may be resolved in future releases.
Although it’s not considered as a good practice, some exception may be ignored so the application may keep on running, instead of crashing
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Read more: Dotmad (on .Net)