.NET - What's the best way to implement a "catch all exceptions handler"

I'm wondering what the best way is to have a "if all else fails catch it".

I mean, you're handling as much exceptions as possible in your application, but still there are bound to be bugs, so I need to have something that catches all unhandled exceptions so I can collect information and store them in a database or submit them to a web service.

Does the AppDomain.CurrentDomain.UnhandledException event capture everything? Even if the application is multithreaded?

Side note: Windows Vista exposes native API functions that allow any application to recover itself after a crash... can't think of the name now... but I'd rather not use it, as many of our users are still using Windows XP.