Roy Osherove pointed out a nice post by Chris Brumme that discusses the finer points of the Exception Model. Since the article is more then a few pages long, I will have to find a few moments...or hours ;)...to go over it in detail. Seriously, it looks informative and well worth the read.
This post comes at a good time because I am currently in the throws of putting the final touches of an exception handling scheme at my current consultation. We did some pretty cool stuff with decorating our BusinessExceptions with attributes in order to create a simplified and consistent approach to creating a detail block when throwing a SoapExceptions. If interested, you can read about it here.