On Windows you may even want to let the application crash. If an application crashes on Windows due to an exception, it can be picked up by Microsoft's Watson

On Windows you may even want to let the application crash. If an application crashes on Windows due to an exception, it can be picked up by Microsoft's Watson error logging (now called Windows Error Reporting, I believe). If the user has marked the checkbox "help Microsoft improve Windows by sending crash information" then the dump of the application will be sent to a central location, where it can be triaged and accessed by the application's developer. Now instead of just a generic entry in a log file, you have a full memory dump of the exception.