I think for simple Handling of Exceptions, we keep 
TRY,Catch Block and catch the exception and handle those 
ones.

use throw and catch to handle exception from component

A method call in a COM server that has generated an
exception creates an instance of the COM error object using
the ICreateErrorInfo interface. The server then populates
the error object with information about the source and cause
of an error. When program control returns to the COM client,
the client can retrieve the error object, find the
information, and use this information determine how to
handle the error.

Unlike exceptions thrown within a program, COM exceptions do
not stop the flow of execution; instead, a COM error object
is created within the current thread. The error object
supports the IErrorInfo interface, which has methods
allowing the client to get the name of the class and
interface that created the error and a description of the error.

COM defines another interface, ISupportErrorInfo, which is
used to indicate that a class may create a COM error object.
Many ArcObjects classes implement the ISupportErrorInfo
interface.