How to log all thrown exceptions?

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I guess the feature you are searching for is called FirstChanceException and can be accessed via the
AppDomain.FirstChanceException Event

Essentially this event provides a hook to get information about any (managed) exception getting thrown in the AppDomain.
You can not handle the Exception this way! It is only a sort of notification

Update:
regarding your comment about a “swallowed exception” on another answer – and just a shot into the dark:
On x64 systems exceptions that get thrown in a windows’ onLoad method can not be caught in your Main() method.
see this SO article for reference

Update 2:
As for Threads I think that you would have to implement it yourself. This would involve some sort of polling and would harm performance, but I guess for debugging it is OK in most cases.
This could be done using 

var threads = Process.GetCurrentProcess().Threads;

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