How do I create a global exception handler for a WCF Services?

You can create a WCF error-logger by implementing IErrorHandler and associating it with the service; typically (for logging) you would return false from HandleError (allowing other handlers to execute), and log the error either in HandleError (using the Exception) or in ProvideFault (using the ref Message fault).

I apply this handler by writing a custom behavior (inheriting from BehaviorBase), which (in ApplyDispatchBehavior) adds the error-handler to endpointDispatcher.ChannelDispatcher.ErrorHandlers if it isn't already there.

The behavior can be applied via configuration.

This is not an answer itself, but an addendum to the great answer provided by SkyBlade002, providing the given code in C#, for convenience for any C# coder:

Here's my code (in ErrorHandler.cs):

/// <summary>
///     This class defines a global ErrorHandler, that allows us to control the fault message returned to the client and
///     perform custom error processing like logging.
/// </summary>
public class ErrorHandler : IErrorHandler {
    private static readonly ILog Log = LogManager.GetLogger(System.Reflection.MethodBase.GetCurrentMethod().DeclaringType);

    /// <summary>
    ///     Enables the creation of a custom <see cref="T:System.ServiceModel.FaultException`1" /> that is returned from an
    ///     exception in the course of a service method.
    /// </summary>
    /// <remarks>
    ///     This method is optionally used to transform standard exceptions into custom FaultException(Of TDetail) that
    ///     can be passed back to the service client.
    /// </remarks>
    /// <param name="error">The <see cref="T:System.Exception" /> object thrown in the course of the service operation.</param>
    /// <param name="version">The SOAP version of the message.</param>
    /// <param name="fault">
    ///     The <see cref="T:System.ServiceModel.Channels.Message" /> object that is returned to the client, or
    ///     service, in the duplex case.
    /// </param>
    public void ProvideFault(Exception error, MessageVersion version, ref Message fault) {}

    /// <summary>
    ///     This method will be called whenever an exception occurs. Therefore,
    ///     we log it and then return false so the error can continue to propagate up the chain.
    /// </summary>
    /// <param name="error">Exception being raised.</param>
    /// <returns>False to let the error propagate up the chain, or True to stop the error here.</returns>
    public bool HandleError(Exception ex) {
        Log.Error(ex); //TODO your own logging
        return false;
    }

Here's my code (in ErrorHandlerBehavior.cs):

/// <summary>
///     This class defines a BehaviorExtensionElement, so that we can use the ErrorServiceBehavior class, defined above, in
///     our App.config.
/// </summary>
public class ErrorHandlerBehavior : BehaviorExtensionElement {
    /// <summary>
    ///     Gets the type of behavior.
    /// </summary>
    public override Type BehaviorType {
        get { return typeof (ErrorServiceBehavior); }
    }

    /// <summary>
    ///     Creates a behavior extension based on the current configuration settings.
    /// </summary>
    /// <returns>
    ///     The behavior extension.
    /// </returns>
    protected override object CreateBehavior() {
        return new ErrorServiceBehavior();
    }
}

Here's my code (in ErrorServiceBehavior.cs):

/// <summary>
///     This class defines a ServiceBehavior, that will allow us to add our custom ErrorHandler class, defined above, to
///     each channel we have a service running on.
/// </summary>
public class ErrorServiceBehavior : IServiceBehavior {
    /// <summary>
    ///     Provides the ability to inspect the service host and the service description to confirm that the service can run
    ///     successfully.
    /// </summary>
    /// <param name="serviceDescription">The service description.</param>
    /// <param name="serviceHostBase">The service host that is currently being constructed.</param>
    public void Validate(ServiceDescription serviceDescription, ServiceHostBase serviceHostBase) {}

    /// <summary>
    ///     Provides the ability to pass custom data to binding elements to support the contract implementation.
    /// </summary>
    /// <param name="serviceDescription">The service description of the service.</param>
    /// <param name="serviceHostBase">The host of the service.</param>
    /// <param name="endpoints">The service endpoints.</param>
    /// <param name="bindingParameters">Custom objects to which binding elements have access.</param>
    public void AddBindingParameters(ServiceDescription serviceDescription, ServiceHostBase serviceHostBase, Collection<ServiceEndpoint> endpoints, BindingParameterCollection bindingParameters) {}

    /// <summary>
    ///     Provides the ability to change run-time property values or insert custom extension objects such as error handlers,
    ///     message or parameter interceptors, security extensions, and other custom extension objects.
    /// </summary>
    /// <param name="serviceDescription">The service description.</param>
    /// <param name="serviceHostBase">The host that is currently being built.</param>
    public void ApplyDispatchBehavior(ServiceDescription serviceDescription, ServiceHostBase serviceHostBase) {
        //Enumerate all channels and add the error handler to the collection
        var handler = new ErrorHandler();
        foreach (ChannelDispatcher dispatcher in serviceHostBase.ChannelDispatchers) {
            dispatcher.ErrorHandlers.Add(handler);
        }
    }
}

Ran into this issue myself and after many open tabs of research, including articles linked in other answers, here is exactly what someone needs for this.

Here is the ErrorHandler class you will need...

Imports System.ServiceModel.Configuration
Imports System.ServiceModel.Description
Imports System.ServiceModel.Dispatcher

''' <summary>
''' This class defines a global ErrorHandler, that allows us to control the
''' fault message returned to the client and perform custom error processing
''' like logging.
''' </summary>
Public Class ErrorHandler
    Implements IErrorHandler

    ''' <summary>
    ''' This method will be called whenever an exception occurs. Therefore,
    ''' we log it and then return false so the error can continue to propagate up the chain.
    ''' </summary>
    ''' <param name="ex">Exception being raised.</param>
    ''' <returns>False to let the error propagate up the chain, or True to stop the error here.</returns>
    Public Function HandleError(ByVal ex As Exception) As Boolean Implements IErrorHandler.HandleError
        'Unknown error occurred at the Service layer, log the event
        logEvent("Encountered an unknown error at the Service layer.", ex, EventLogEntryType.Error)

        Return False
    End Function

    ''' <summary>
    ''' This method is optionally used to transform standard exceptions into custom
    ''' FaultException(Of TDetail) that can be passed back to the service client.
    ''' </summary>
    ''' <param name="ex">Exception being raised.</param>
    ''' <param name="version">SOAP version of the message.</param>
    ''' <param name="fault">Message object that is returned to the client.</param>
    Public Sub ProvideFault(ByVal ex As Exception, ByVal version As Channels.MessageVersion, ByRef fault As Channels.Message) Implements IErrorHandler.ProvideFault
    End Sub

End Class

''' <summary>
''' This class defines a ServiceBehavior, that will allow us to add our
''' custom ErrorHandler class, defined above, to each channel we have a
''' service running on.
''' </summary>
Public Class ErrorServiceBehavior
    Implements IServiceBehavior

    Public Sub AddBindingParameters(serviceDescription As ServiceDescription, serviceHostBase As ServiceHostBase, endpoints As ObjectModel.Collection(Of ServiceEndpoint), bindingParameters As Channels.BindingParameterCollection) Implements IServiceBehavior.AddBindingParameters
    End Sub

    Public Sub ApplyDispatchBehavior(serviceDescription As ServiceDescription, serviceHostBase As ServiceHostBase) Implements IServiceBehavior.ApplyDispatchBehavior
        'Enumerate all channels and add the error handler to the collection
        Dim handler As New ErrorHandler()
        For Each dispatcher As ChannelDispatcher In serviceHostBase.ChannelDispatchers
            dispatcher.ErrorHandlers.Add(handler)
        Next
    End Sub

    Public Sub Validate(serviceDescription As ServiceDescription, serviceHostBase As ServiceHostBase) Implements IServiceBehavior.Validate
    End Sub

End Class

''' <summary>
''' This class defines a BehaviorExtensionElement, so that we can
''' use the ErrorServiceBehavior class, defined above, in our App.config.
''' </summary>
Public Class ErrorHandlerBehavior
    Inherits BehaviorExtensionElement

    Protected Overrides Function CreateBehavior() As Object
        Return New ErrorServiceBehavior()
    End Function

    Public Overrides ReadOnly Property BehaviorType As Type
        Get
            Return GetType(ErrorServiceBehavior)
        End Get
    End Property

End Class

Then, these sections need to be added/updated in the App.config file for your service project...

<system.serviceModel>
  <extensions>
    <behaviorExtensions>
      <!-- Add in our custom error handler -->
      <add name="ErrorLogging" type="Service.ErrorHandlerBehavior, Service, Version=1.0.0.0, Culture=neutral, PublicKeyToken=null" />
    </behaviorExtensions>
  </extensions>
  <services>
    <service name="Service.Service" behaviorConfiguration="Service.ServiceBehavior">
      <endpoint address="" binding="wsHttpBinding" bindingConfiguration="wsHttp"
      contract="SentinelService.IService"/>
      <endpoint address="mex" binding="mexHttpBinding" contract="IMetadataExchange" />
    </service>
  </services>
  <behaviors>
    <serviceBehaviors>
      <behavior name="Service.ServiceBehavior">
        <serviceMetadata httpGetEnabled="True" />
        <serviceDebug includeExceptionDetailInFaults="False" />
        <!-- Add in our custom error handler, from behaviorExtensions element -->
        <ErrorLogging />
      </behavior>
    </serviceBehaviors>
  </behaviors>

Specifically, a behaviorExtension needs to be added, its name needs to be added to the behavior section, the behavior section needs to be named, and that behavior section needs to be the behaviorConfiguration for the service.

Be careful with the "type" attribute on the behaviorExtension though, it must be exact. If you are unsure you can use the following to determine it GetType(ErrorHandlerBehavior).AssemblyQualifiedName.

If you are interested, this is the code behind the logEvent function I use...

''' <summary>
''' Logs a message and optional exception to the application event log.
''' </summary>
''' <param name="message">String message to log.</param>
''' <param name="ex">Exception to log.</param>
''' <param name="eventType">EventLogEntryType indicating the message severity.</param>
Public Sub logEvent(ByVal message As String, Optional ByVal ex As Exception = Nothing, _
                    Optional ByVal eventType As EventLogEntryType = EventLogEntryType.Information)
    'Initialize report
    Dim report As String = message + vbNewLine + vbNewLine

    'Create eventLogger
    Dim eventLogger As New EventLog()

    'Register event source, add any Exception information to the report, and then log it
    Try
        'Register the app as an Event Source
        If Not EventLog.SourceExists("MyAppName") Then
            EventLog.CreateEventSource("MyAppName", "Application")
        End If

        If ex IsNot Nothing Then
            'Force eventType to error
            eventType = EventLogEntryType.Error

            'Add Exception Information to report
            report += "Exception Information:" + vbNewLine
            Dim currentException As Exception = ex
            Dim exCount As Integer = 1
            While (currentException IsNot Nothing)
                report += Space(5) + If(exCount = 1, "Message:", "Inner Exception:") + vbNewLine
                report += Space(10) + currentException.Message + vbNewLine
                report += Space(5) + "StackTrace:" + vbNewLine
                report += Space(10) + currentException.StackTrace + vbNewLine
                report += vbNewLine

                currentException = currentException.InnerException
                exCount += 1
            End While
        End If
    Catch reportException As Exception
        'This catch ensures that no matter what some error report is logged.
        report += vbNewLine + vbNewLine + "PARTIAL REPORT!!!...AN ERROR WAS ENCOUNTERED GENERATING ERROR REPORT."
    Finally
        Try
            'Log report
            eventLogger.Source = "MyAppName"
            eventLogger.WriteEntry(report, eventType)
        Catch logEventException As Exception
            'Eat it...nothing can be done at this point and we do
            'not want the application to crash over an error report
            'if we can prevent it
        End Try
    End Try
End Sub