对于这样的问题，我通常在Visual Studio中打开一个空的控制台应用程序项目，并编写一个小示例程序:

using System;

class Program
{
    static void Main(string[] args)
    {
        try
        {
            try
            {
                throw new Exception("exception thrown from try block");
            }
            catch (Exception ex)
            {
                Console.WriteLine("Inner catch block handling {0}.", ex.Message);
                throw;
            }
            finally
            {
                Console.WriteLine("Inner finally block");
                throw new Exception("exception thrown from finally block");
                Console.WriteLine("This line is never reached");
            }
        }
        catch (Exception ex)
        {
            Console.WriteLine("Outer catch block handling {0}.", ex.Message);
        }
        finally
        {
            Console.WriteLine("Outer finally block");
        }
    }
}

当您运行程序时，您将看到执行catch和finally块的确切顺序。请注意，在抛出异常后，finally块中的代码将不会被执行(事实上，在这个示例程序中，Visual Studio甚至会警告你，它已经检测到不可访问的代码):

Inner catch block handling exception thrown from try block.
Inner finally block
Outer catch block handling exception thrown from finally block.
Outer finally block

额外的评论

正如Michael Damatov指出的，try块中的异常如果不在(内部)catch块中处理，就会被“吃掉”。事实上，在上面的例子中，重新抛出的异常并没有出现在外层catch块中。为了更清楚地说明这一点，请看下面稍作修改的示例:

using System;

class Program
{
    static void Main(string[] args)
    {
        try
        {
            try
            {
                throw new Exception("exception thrown from try block");
            }
            finally
            {
                Console.WriteLine("Inner finally block");
                throw new Exception("exception thrown from finally block");
                Console.WriteLine("This line is never reached");
            }
        }
        catch (Exception ex)
        {
            Console.WriteLine("Outer catch block handling {0}.", ex.Message);
        }
        finally
        {
            Console.WriteLine("Outer finally block");
        }
    }
}

正如你可以从输出中看到的，内部异常被“丢失”(即被忽略):

Inner finally block
Outer catch block handling exception thrown from finally block.
Outer finally block

它抛出一个异常;)您可以在其他catch子句中捕获该异常。

在另一个异常活动时抛出异常将导致第一个异常被第二个(稍后)异常所取代。

下面是一些代码，说明发生了什么:

    public static void Main(string[] args)
    {
        try
        {
            try
            {
                throw new Exception("first exception");
            }
            finally
            {
                //try
                {
                    throw new Exception("second exception");
                }
                //catch (Exception)
                {
                    //throw;
                }
            }
        }
        catch (Exception e)
        {
            Console.WriteLine(e);
        }
    }

运行代码，您将看到“第二个异常” 取消try和catch语句的注释，您将看到“第一个异常” 也取消注释抛出;语句，您将再次看到“第二个异常”。

传播异常。

几个月前，我也遇到过这样的事情，

    private  void RaiseException(String errorMessage)
    {
        throw new Exception(errorMessage);
    }

    private  void DoTaskForFinally()
    {
        RaiseException("Error for finally");
    }

    private  void DoTaskForCatch()
    {
        RaiseException("Error for catch");
    }

    private  void DoTaskForTry()
    {
        RaiseException("Error for try");
    }


        try
        {
            /*lacks the exception*/
            DoTaskForTry();
        }
        catch (Exception exception)
        {
            /*lacks the exception*/
            DoTaskForCatch();
        }
        finally
        {
            /*the result exception*/
            DoTaskForFinally();
        }

为了解决这个问题，我做了一个实用类

class ProcessHandler : Exception
{
    private enum ProcessType
    {
        Try,
        Catch,
        Finally,
    }

    private Boolean _hasException;
    private Boolean _hasTryException;
    private Boolean _hasCatchException;
    private Boolean _hasFinnallyException;

    public Boolean HasException { get { return _hasException; } }
    public Boolean HasTryException { get { return _hasTryException; } }
    public Boolean HasCatchException { get { return _hasCatchException; } }
    public Boolean HasFinnallyException { get { return _hasFinnallyException; } }
    public Dictionary<String, Exception> Exceptions { get; private set; } 

    public readonly Action TryAction;
    public readonly Action CatchAction;
    public readonly Action FinallyAction;

    public ProcessHandler(Action tryAction = null, Action catchAction = null, Action finallyAction = null)
    {

        TryAction = tryAction;
        CatchAction = catchAction;
        FinallyAction = finallyAction;

        _hasException = false;
        _hasTryException = false;
        _hasCatchException = false;
        _hasFinnallyException = false;
        Exceptions = new Dictionary<string, Exception>();
    }


    private void Invoke(Action action, ref Boolean isError, ProcessType processType)
    {
        try
        {
            action.Invoke();
        }
        catch (Exception exception)
        {
            _hasException = true;
            isError = true;
            Exceptions.Add(processType.ToString(), exception);
        }
    }

    private void InvokeTryAction()
    {
        if (TryAction == null)
        {
            return;
        }
        Invoke(TryAction, ref _hasTryException, ProcessType.Try);
    }

    private void InvokeCatchAction()
    {
        if (CatchAction == null)
        {
            return;
        }
        Invoke(TryAction, ref _hasCatchException, ProcessType.Catch);
    }

    private void InvokeFinallyAction()
    {
        if (FinallyAction == null)
        {
            return;
        }
        Invoke(TryAction, ref _hasFinnallyException, ProcessType.Finally);
    }

    public void InvokeActions()
    {
        InvokeTryAction();
        if (HasTryException)
        {
            InvokeCatchAction();
        }
        InvokeFinallyAction();

        if (HasException)
        {
            throw this;
        }
    }
}

像这样使用

try
{
    ProcessHandler handler = new ProcessHandler(DoTaskForTry, DoTaskForCatch, DoTaskForFinally);
    handler.InvokeActions();
}
catch (Exception exception)
{
    var processError = exception as ProcessHandler;
    /*this exception contains all exceptions*/
    throw new Exception("Error to Process Actions", exception);
}

但如果你想使用参数并返回类型，那就是另一回事了

快速(相当明显的)代码片段保存“原始异常”(在try块中抛出)并牺牲“finally异常”(在finally块中抛出)，以防原始异常对你更重要:

try
{
    throw new Exception("Original Exception");
}
finally
{
    try
    {
        throw new Exception("Finally Exception");
    }
    catch
    { }
}

当执行上面的代码时，“原始异常”向上传播调用堆栈，“最终异常”丢失。