理想情况下，我会喜欢这样的：

try
  //do something
except on e : exception do
  begin
    //rollback a transaction or whatever i need to do here       
    MessageDlg('An error has occurred!' + #13#10 +
                e.Message + #13#10 +
               'Here is the stack trace:' + #13#10 +
               e.StackTrace,mtError,[mbOK],0);
  end;  //except
end;  /try-except

并且输出像IDE中的Call Stack一样：

MYPROGRAM.SomeFunction
MYPROGRAM.SomeProcedure
MYPROGRAM.MYPROGRAM
:7c817067 kernel32.RegisterWaitForInputIdle + 0x49