Application.DispatcherUnhandledException will handle exceptions thrown on the main UI thread in a WPF application. AppDomain.UnhandledException will handle exceptions thrown on any thread and never caught. This includes threads you create manually or the main thread in a Console application. WPF is catching the exceptions on the UI thread, so you will not see those in AppDomain.UnhandledException.
Also note that unhandled exceptions typically terminate the runtime, so after AppDomain.UnhandledException is raised your program will immediately exit. In contrast, Application.DispatcherUnhandledException is catching exceptions and will let your program continue.
answered 2010-07-09T12:05:37.620