Is it a good or bad idea throwing Exceptions when validating data?

When validating data, I've gotten into a habit of doing the following:

Note: I don't really have individual booleans for each check. This is just for the example.

Another Note: any error handling during the tests are done properly. The ONLY exceptions thrown in the try-catch are my own.

try {
  if (validCheckOne = false) {
    throw new Exception("Check one is bad");
  }
  if (validCheckTwo = false) {
    throw new Exception("Failed because of check2");
  }
  if(validCheckTen = false) {
    throw new Exception("Yet another failure on your part: check10.");
  }
} catch(Exception e) {
  MessageBox.Show("Your stupid data is wrong! See for yourself: " + e.Message);
}

Is this bad practice? Does throwing Exceptions slow the program's execution or is inadvisable?

Personally I like throwing Exceptions for business rule validation (not so much for user input validation) because it forces the problem to be handled upstream. If my business objects returned some kind of validation result, it could be ignored by the caller. Call me a cowboy if you wish :)

Everyone here is repeating the phrase "exceptions are for exceptional circumstances", but that really doesn't give any understanding of why its bad to use them for unexceptional circumstances. I need more than that. Is the performance hit of throwing exceptions really that bad? Are there any benchmarks available?

I'm going to repeat the mantra here: throwing exceptions should be done in exceptional circumstances. Invalid entered data is really not that exceptional.

I support MusiGenesis's answer.

Additionally...

The performance of throwing an exception is a thousand instructions. It's nothing compared to end-user time, but in inner code it is slow.

An additional problem is that, using Exceptions, your validation is limited to reporting the first failure (and you will have to do it all again next time to find the next failure).

In addition to the oft-repeated statement that "exceptions are for exceptional circumstances", here's an additionally clarifying rule I've come to like:

If the user caused it, it's not exceptional.

Exceptions are for system-side things (servers going down, resources being unavailable), not for the user doing odd things, because all users do odd things.

In the title you call it "validating" data. That can happen on several levels. In (near) the GUI where you are checking user entered data, you should be expecting errors and have ways to report the errors back. Exceptions are inappropriate in this case.

But Data Validation can also happen at other boundaries, say between business-rule classes. There, errors in the data are uncommon and unexpected. You should throw when you detect one.