Scott, in his usual style, has a blog entry regarding unhandled exceptions in ASP.NET 2.0. The gist of it is that if you have secondary threads in your ASP.NET app and you let an exception leak through, you are going to kill the asp.net worker process. That means, you better handle any exceptions that might arise from the secondary thread.
Read more about it here: http://odetocode.com/Blogs/scott/archive/2005/12/14/2618.aspx
BTW: This is applicable only to the secondary threads. If you are have unhandled exceptions in the main thread that handles the request, ASP.NET infrastructure handles as usual. Not that I recommend doing this, but, you know who you are.