How to log all thrown exceptions?

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;

You might go with aspects. If for example you take PostSharp, and write an aspect that creates a try-catch for every function, logging is done in the aspect. After logging just rethrow it.

Example code from their website to have a complete answer with demo code:

/// <summary>
/// Aspect that, when applied on a method, catches all its exceptions,
/// assign them a GUID, log them, and replace them by an <see cref="InternalException"/>.
/// </summary>
[Serializable]
public class ExceptionPolicyAttribute : OnExceptionAspect
{
    /// <summary>
    /// Method invoked upon failure of the method to which the current
    /// aspect is applied.
    /// </summary>
    /// <param name="args">Information about the method being executed.</param>
    public override void OnException(MethodExecutionArgs args)
    {
        Guid guid = Guid.NewGuid();

        Trace.TraceError("Exception {0} handled by ExceptionPolicyAttribute: {1}",
            guid, args.Exception.ToString());

        throw new InternalException(
            string.Format("An internal exception has occurred. Use the id {0} " +
                "for further reference to this issue.", guid));
    }
}

Edit:

You could use any logger like log4net, NLog or the enterprise library ( my preferred way of doing logging and some other stuff ). But that isn't really the task here. The task is - IMHO - to inject logging into the project with as less manual coding as possible.

try using Log4Net - its a great logger and used a lot in these scenarios http://sourceforge.net/projects/log4net/

For handled exceptions you'd most likely need to log them explicitly. Even if that's not the case semantically there's a huge difference to handled and unhandled exceptions.

Handled exceptions are no longer an exceptional situation. Some one writing the code said. I know how to handle this exception and proceed correctly afterwards.

For unhandled exceptions have a look at Elmah

How to log all thrown exceptions?

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