From MSDN site:
Finding and designing away
exception-heavy code can result in a
decent perf win. Bear in mind that
this has nothing to do with try/catch
blocks: you only incur the cost when
the actual exception is thrown. You
can use as many try/catch blocks as
you want. Using exceptions
gratuitously is where you lose
performance. For example, you should
stay away from things like using
exceptions for control flow.