Eric Lippert wrote a very interesting blog post on exceptions: definitely worth reading.
(Other interesting links about exceptions can be found here).
Some links on writing exception-safe code in C++
I found a very interesting thread on StackOverflow about writing exception safe code in C++:
C++: do you (really) write exception safe code?
The first answer is worth reading.
And, as already written in the aforementioned thread, detailed information on this subject can be found on GotW website, too:
GotW #59: Exception-Safe Class Design, Part 1: Copy Assignment