A long time ago I read an article (probably) by Herb Sutter that introduced a good/safe method of being able to stream to an exception as it was being throw. It may have been in Dr Dobbs magazine.
i.e. like this:
throw MyException() << "And this is my error message";
Does anyone remember the article and have a link too it?
EDIT
Actually article was written by Gigi Sayfan
Practical C++ Error Handling in Hybrid Environments