http://msdn.microsoft.com/en-us/library/ms229005.aspx

An application should not handle exceptions that can result in an unexpected or exploitable state. If you cannot predict all possible causes of an exception and ensure that malicious code cannot exploit the resulting application state, you should allow the application to terminate instead of handling the exception.

http://www.codeproject.com/Articles/7557/Exception-Handling-in-C-with-the-quot-Do-Not-Catch

Exception Handling in C# with the "Do Not Catch Exceptions That You Cannot Handle" rule in mind