According to Jeff Stuckey, Systems Engineer Manager for Microsoft, unhandled exceptions cause the whole IIS worker process to be torn down. This has serious implications, as if you’re running a whole lot of sites on IIS, you don’t just lose the App Pool for the one that causes the error, you lose the whole lot!
Don’t believe me? Check out the WebCast called “Debugging CLR Internals” on iis.net: http://www.iis.net/default.aspx?tabid=2&subtabid=26&i=1059 at about the 36:06 mark. The workaround is to implement legacy exception handling at http://msdn2.microsoft.com/en-us/library/ms228965.aspx