My company has been doing ASP.NET development for a few years now, and we have had varying success in dealing with exceptions. In a Scott Hanselman blog post, I found out about ELMAH (Error Logging Modules and Handlers), which can assist development of ASP.NET web sites.
After some configuration issues in the Web.config file, we were able to get it working fine on my local machine. We have not tried using it in a production environment, but I would guess that it should work fine as long as we create the appropriate folder on the web server to save the XML files.
I suspect that we have only begun to scratch the surface of what is possible with ELMAH, but I would reiterate what many others have said. Anyone doing ASP.NET web development should be using ELMAH.
Here are a couple of links:
ELMAH project home (Edit: link changed)
DotNetSlackersArticle introductory article by Simone Busoli (Edit: link to the page ‘http://code.google.com/p/elmah/wiki/DotNetSlackersArticle’ now shows as dead)