How can I make something that catches all 'unhandled' exceptions in a WinForms application?

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Up until now, I just put a try/catch block around the Application.Run in the Program.cs entry point to the program. This catches all exceptions well enough in Debug mode, but when I run the program without the debug mode, exceptions don't get handled anymore. I get the unhandled exception box.

I don't want this to happen. I want all exceptions to be caught when running in non-debug mode. The program has multiple threads and preferably all exceptions from them get caught by the same handler; I want to log exceptions in the DB. Does anyone have any advice in how to do this?

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Take a look at the example from the ThreadException documentation:

public static void Main(string[] args)
{
   // Add the event handler for handling UI thread exceptions to the event.
    Application.ThreadException += new     
  ThreadExceptionEventHandler(ErrorHandlerForm.Form1_UIThreadException);

  // Set the unhandled exception mode to force all Windows Forms errors
  // to go through our handler.
  Application.SetUnhandledExceptionMode(UnhandledExceptionMode.CatchException);

  // Add the event handler for handling non-UI thread exceptions to the event. 
  AppDomain.CurrentDomain.UnhandledException += new       
  UnhandledExceptionEventHandler(CurrentDomain_UnhandledException);
}

You might also want to not catch exceptions when debugging, as this makes it easier to debug. It is somewhat of a hack, but for that you can wrap the above code around with

 if (!AppDomain.CurrentDomain.FriendlyName.EndsWith("vshost.exe")) { ... }

To prevent catching the exceptions when debugging.

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In NET 4, certain exceptions are no longer caught by default; these tend to be exceptions that indicate a (possibly fatal) corrupted state of the executable, such as an AccessViolationException.

Try using the [HandleProcessCorruptedStateExceptions] tag in front of your main method, e.g.

using System.Runtime.ExceptionServices.HandleProcessCorruptedStateExceptions

[HandleProcessCorruptedStateExceptions]
public static int Main()
{
    try
    {
        // Catch any exceptions leaking out of the program
        CallMainProgramLoop();
    }
    catch (Exception e) // We could be catching anything here
    {
        System.Console.WriteLine(e.Message);
        return 1;
    }
    return 0;
  }

[selected]

You can use NBug library for that. With minimal setup like this:

NBug.Settings.Destination1 = "Type=Mail;From=me@mycompany.com;To=bugtracker@mycompany.com;SmtpServer=smtp.mycompany.com;";
AppDomain.CurrentDomain.UnhandledException += NBug.Handler.UnhandledException;
Application.ThreadException += NBug.Handler.ThreadException;

You can start collecting information on all unhandled bugs in your application, even when it's deployed to the clients. If you don't want to use a 3rd party library, you should attach to below events:

// These two should come before enabling visual styles or running the application
AppDomain.CurrentDomain.UnhandledException += ...
Application.ThreadException += ...
...
Application.Run(new Form1());