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

class Program
{
    void Run()
    {
        AppDomain.CurrentDomain.UnhandledException += new UnhandledExceptionEventHandler(CurrentDomain_UnhandledException);

        Console.WriteLine("Press enter to exit.");

        do
        {
            (new Thread(delegate()
            {
                throw new ArgumentException("ha-ha");
            })).Start();

        } while (Console.ReadLine().Trim().ToLowerInvariant() == "x");


        Console.WriteLine("last good-bye");
    }

    int r = 0;

    void CurrentDomain_UnhandledException(object sender, UnhandledExceptionEventArgs e)
    {
        Interlocked.Increment(ref r);
        Console.WriteLine("handled. {0}", r);
        Console.WriteLine("Terminating " + e.IsTerminating.ToString());

        Thread.CurrentThread.IsBackground = true;
        Thread.CurrentThread.Name = "Dead thread";

        while (true)
            Thread.Sleep(TimeSpan.FromHours(1));
        //Process.GetCurrentProcess().Kill();
    }

    static void Main(string[] args)
    {
        Console.WriteLine("...");
        (new Program()).Run();
    }
}

try
{
    CallTheCodeThatMightThrowException()
 }
catch (Exception ex)
{
    System.Diagnostics.StackTrace st = new System.Diagnostics.StackTrace ();
    Utils.ErrorHandler.Trap ( ref objUser, st, ex );
} //eof catch

using System;
using log4net; //or another logging platform

namespace GenApp.Utils
{
  public class ErrorHandler
  {
    public static void Trap ( Bo.User objUser, ILog logger, System.Diagnostics.StackTrace st, Exception ex )
    {
      if (ex is NullReferenceException)
      {
      //do stuff for this ex type
      } //eof if

      if (ex is System.InvalidOperationException)
      {
        //do stuff for this ex type
      } //eof if

      if (ex is System.IndexOutOfRangeException)
      {
        //do stuff for this ex type
      } //eof if

      if (ex is System.Data.SqlClient.SqlException)
      {
        //do stuff for this ex type
      } //eof if

      if (ex is System.FormatException)
      {
        //do stuff for this ex type
      } //eof if

      if (ex is Exception)
      {
        //do stuff for this ex type
      } //eof catch

    } //eof method

  }//eof class
} //eof namesp

Application.SetUnhandledExceptionMode(UnhandledExceptionMode.ThrowException);

Application.SetUnhandledExceptionMode(UnhandledExceptionMode.CatchException);