I would use the Validate event to do any validation in which you'd not let the user leave the control if the data's invalid. How you would validate the data depends on what all you're doing really. But you wouldn't need a Try/Catch for it, simpler If Then would work much better.
There's also the MaskedTextBox you could use for validating things like phone numbers, social security numbers, etc.
For validating thing like email addresses and other pattern based stuff, there's Regular Expressions