The questions says everything, take this example code:
<ul id='css-id'> <li> <something:CustomControl ID='SomeThingElse' runat='server' /> <something:OtherCustomControl runat='server' /> </li> </ul>
Now if an error gets thrown somewhere inside these controlls (that are located in a master page) they will take down the entire site, how would one catch these exceptions?
You can catch all exception not handled elswhere in the Global.asax page / class. Look at:
method.