Structured exception handling and all of the challenges associated with it aren't new topics about which developers must worry. I was flipping through my copy of The C++ Programming Language (3rd Edition) this morning and ended up rediscovering Appendex E on C++ Standard-Library Exception Safety. Understanding what consistency and failure guarantees you intend to make with your library and then actually making them, knowing what to expect from a pre-written library and when and how to program defensively against it, and all such related topics were challenging with C++ and remain a challenge with C#. It's amazing how many of these things are directly transferrable between technologies.
He mentions in the book that all of the appendices are available on the web, so I did a quick search. Voila! Here it is [PDF].
Even if you're not a C++-er, you'll find a ton of great information in that article. Enjoy. I did (again).