Here is an interesting article about throwing exceptions...
(Follow link for full article)

Rethrowing Exceptions ( via Jackie Goldstein's Weblog )

In Java, when you do "throw ex;", ex is being re-thrown as if it wasn't caught at all - no information about re-throwing is ever recorded and original stack trace info is preserved. If you do want to start exception's stack trace from the re-throwing point - oh, that's completely different story, you need to refill exception's stack trace using fillInStackTrace() method.

In .Net however, when you do "throw ex;", ex is being re-thrown, but the original stack trace info gets overriden. The point where exception is re-thrown is now becoming the exception's origin.

Basically MSIL (CIL) has two instructions - "throw" and "rethrow" and guess what - C#'s "throw ex;" gets compiled into MSIL's "throw" and C#'s "throw;" - into MSIL "rethrow"! Basically I can see the reason why "throw ex" overrides the stack trace, that's quite intuitive if you think about it for a moment. But "throw" syntax for "rethrow" instruction is not really intuitive. It smells stack based MSIL, which is obviously under the cover, but actually should be kept there. I guess they wanted to keep number of C# keywords small, that's the reason. So you just better know this stuff - use "throw;" to re-throw an exception in .NET.