Exception handling is one of the nightmares and the best practice for any programmer. But doesn't matter how good the programmer is, there will be always a chance of unhandled exception daunting the users. .NET 2.0+ however has a better option of handling it which is focused on recovering your application on the next start.
AppDomain.UnhandledException is an event which will allow you to handle any unhandled exceptions that would occur anywhere on your application. When you define the delegate for the above said event, it will allow you to write the code to save the current state of the application or do any custom operations so that the crash can be recovered during next recovery. However, if you wish to give the user the control of handling the situation, it can be done using a exception dialog.
Now let's get into business.
static void Main()
If you are looking into the handling of unexpected error, you can opt for not giving the user an option to choose what the application has to do and simply log the application state and close the application and while the user starts the next time, you can recover it. This is similar to the Microsoft Word approach.
Or you can opt for the user to choose whether to continue or quit the application after logging the details using an exception dialog. This can be used where the application is not processing any critical data and can survive the crash.