Recently I have found the need to have an exception filter in some C# code that I have written. Since there is no language support for this, I wrote an IL instrumentation tool:

http://code.msdn.microsoft.com/ExceptionFilterInjct

For debugging scenarios, the value of this tool is to make it easier to save a minidump of exceptions. Unfortunately, there is not yet a rich Visual Studio experience for managed minidumps, so you will need to use sos.dll (see http://msdn2.microsoft.com/en-us/magazine/cc164138.aspx).