Why Re-throw Exceptions?

I've seen the following code many times:

try
{
    ... // some code
}
catch (Exception ex)
{
    ... // Do something
    throw new CustomException(ex);

    // or
    // throw;

    // or
    // throw ex;
}

Can you please explain the purpose of re-throwing an exception? Is it following a pattern/best practice in exception handling? (I've read somewhere that it's called "Caller Inform" pattern?)