Simple tip that's saved me some time:
//This will set the variable test to null:
string test = Convert.ToString(ConfigurationSettings.AppSettings["Missing.Value"]);
//This will throw an exception:
string test = ConfigurationSettings.AppSettings["Missing.Value"].ToString();
The problem with the second statement is that null doesn't have a .ToString() method.
Either situation can be handled, but most of the time it's a lot cleaner to check for a null than to raise the exception.