I was googling FirstChanceException, and I can't resist answering this more than two years later...
Now, in .net 4.0, you can catch the FirstChanceException event of the AppDomain. It is an event only, so you can't handle the error, but it seems to be a good, central way to get information on exceptions whether they are handled or not. The FirstChanceException event is thrown before a catch block is allowed to handle it. I haven't found a lot of information on it, but aside from the microsoft documentation, one of the better sources is Mitch Sellers Blog.
与恶龙缠斗过久,自身亦成为恶龙;凝视深渊过久,深渊将回以凝视…