>I am wondering about how practical is to use Try/Catch/Finally error handling.
>
>You cannot get Server.GetLastError() in Catch block, therefore, making an informative error message is difficult. If you don't have Try/Catch, the global error page (from global.asax) will show an error message anyway.
>
>Where do you find Try/Catch/Finally practical to implement where the error message is informative?

You pass the exception to the catch.
Catch (Exception e)
{
e.Message
}