... you'll probably forget to call _resetstkoflw() in your exception handler when it's a stack overflow exception. This re-establishes the guard page, so that the next time the thread hits a stack overflow, it'll get another stack overflow exception; if you forget to call it, then the next time the thread runs off the end of its stack, it'll AV instead (if you're lucky), and not have anywhere to run the exception filter or termination handlers, which could be a problem if there are locks to be dropped, &c.
Everyone understands that you usually don't want to be using try/except, right? try/finally is almost always more appropriate.
"Gee, Rob, why are you talking about exception handling so much?" Mostly because in the core OS code, it's an area where there are a lot of unnecessary defects; it'd be nice if more people understood and tested this stuff.