Several customers have pointed out to me that the sample for the ThreadException event doesn't even compile, let alone work. Similarly, the topic containing it never clearly differentiated between exceptions on Windows Forms threads (which are handled by ThreadException) and exceptions on other threads (which are handled by AppDomain.UnhandledException).

Here's the new sample we'll be including:

// Starts the application.
[SecurityPermission(SecurityAction.Demand, Flags = SecurityPermissionFlag.ControlAppDomain)]
public static void Main(string[] args)
{
    // Add the event handler for handling UI thread exceptions to the event.
    Application.ThreadException += new ThreadExceptionEventHandler(ErrorHandlerForm.Form1_UIThreadException);

    // Set the unhandled exception mode to force all Windows Forms errors to go through
    // our handler.
    Application.SetUnhandledExceptionMode(UnhandledExceptionMode.CatchException);

    // Add the event handler for handling non-UI thread exceptions to the event.
    AppDomain.CurrentDomain.UnhandledException +=
        new UnhandledExceptionEventHandler(CurrentDomain_UnhandledException);

    // Runs the application.
    Application.Run(new ErrorHandlerForm());
}

// Programs the button to throw an exception when clicked.
private void button1_Click(object sender, System.EventArgs e)
{
    throw new ArgumentException("The parameter was invalid");
}

// Start a new thread, separate from Windows Forms, that will throw an exception.
private void button2_Click(object sender, System.EventArgs e)
{
    ThreadStart newThreadStart = new ThreadStart(newThread_Execute);
    newThread = new Thread(newThreadStart);
    newThread.Start();
}

// The thread we start up to demonstrate non-UI exception handling.
void newThread_Execute()
{
    throw new Exception("The method or operation is not implemented.");
}

// Handle the UI exceptions by showing a dialog box, and asking the user whether
// or not they wish to abort execution.
private static void Form1_UIThreadException(object sender, ThreadExceptionEventArgs t)
{
    DialogResult result = DialogResult.Cancel;
    try
    {
        result = ShowThreadExceptionDialog("Windows Forms Error", t.Exception);
    }
    catch
    {
        try
        {
            MessageBox.Show("Fatal Windows Forms Error",
                "Fatal Windows Forms Error", MessageBoxButtons.AbortRetryIgnore, MessageBoxIcon.Stop);
        }
        finally
        {
            Application.Exit();
        }
    }

    // Exits the program when the user clicks Abort.
    if (result == DialogResult.Abort)
        Application.Exit();
}

// Handle the UI exceptions by showing a dialog box, and asking the user whether
// or not they wish to abort execution.
// NOTE: This exception cannot be kept from terminating the application - it can only
// log the event, and inform the user about it.
private static void CurrentDomain_UnhandledException(object sender, UnhandledExceptionEventArgs e)
{
    try
    {
        Exception ex = (Exception)e.ExceptionObject;
        string errorMsg = "An application error occurred. Please contact the adminstrator " +
            "with the following information:\n\n";

        // Since we can't prevent the app from terminating, log this to the event log.
        if (!EventLog.SourceExists("ThreadException"))
        {
            EventLog.CreateEventSource("ThreadException", "Application");
        }

        // Create an EventLog instance and assign its source.
        EventLog myLog = new EventLog();
        myLog.Source = "ThreadException";
        myLog.WriteEntry(errorMsg + ex.Message + "\n\nStack Trace:\n" + ex.StackTrace);
    }
    catch (Exception exc)
    {
        try
        {
            MessageBox.Show("Fatal Non-UI Error",
                "Fatal Non-UI Error. Could not write the error to the event log. Reason: "
                + exc.Message, MessageBoxButtons.OK, MessageBoxIcon.Stop);
        }
        finally
        {
            Application.Exit();
        }
    }
}

// Creates the error message and displays it.
private static DialogResult ShowThreadExceptionDialog(string title, Exception e)
{
    string errorMsg = "An application error occurred. Please contact the adminstrator " +
        "with the following information:\n\n";
    errorMsg = errorMsg + e.Message + "\n\nStack Trace:\n" + e.StackTrace;
    return MessageBox.Show(errorMsg, title, MessageBoxButtons.AbortRetryIgnore,
        MessageBoxIcon.Stop);
}