When debugging, an unhandled exception will cause the debugger to break. This is the default behaviour. But this will probably seldom happen as you have probably written code to catch possible exceptions that could occur.
However, one problem with catching all possible exceptions that could possibly occur in your code, is that sometimes you just wish that there is a way to make the debugger break even though the exception is being handled properly. Well, you can! In Visual Studio under the menu Debug -> Exceptions, you can make the debugger break anytime time an exception is thrown, handled or unhandled.
Just tick the checkboxes in the "Thrown' colum so that it will break when the particular exception is thrown.