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public void CreateSamplesAsync(CsvAggregator csvAggregator, SettingsTeach settingsTeach, string guidStr)
        {
            OnSampleCreationBegin(EventArgs.Empty);

            int threadCount = csvAggregator.SelectedCsvCores.Count;
            if (threadCount > 0)
            {
                for (int i = 0; i < csvAggregator.SelectedCsvCores.Count; i++)
                {
                    CsvCore csvCore = csvAggregator.SelectedCsvCores[i];

                    try
                    {
                        ThreadPool.QueueUserWorkItem(ignore =>
                        {
                            try
                            {
                                OnSampleCreationBeginThread(csvCore);

                                for (int j = 0; j < settingsTeach.ParallelInstances; j++)
                                {
                                    DBAccess.SaveSamples(csvCore.Symbol, 0, j, guidStr, new Samples(settingsTeach.DateTeachFrom, settingsTeach.DateTeachTo, false, csvCore, settingsTeach.PrevDaysCount, settingsTeach.ForecastDaysCount));  // in dieser Zeile wird die Exception ausgelöst.
                                    DBAccess.SaveSamples(csvCore.Symbol, 1, j, guidStr, new Samples(settingsTeach.DateCheckFrom, settingsTeach.DateCheckTo, true, csvCore, settingsTeach.PrevDaysCount, settingsTeach.ForecastDaysCount));
                                }

                                OnSampleCreatedThread(csvCore);

                                if (Interlocked.Decrement(ref threadCount) == 0) OnSampleCreationCompleted();
                            }
                            catch
                            {
                                throw;
                            }
                        });
                    }
                    catch
                    {
                        // Hier lande ich nie, auch dann nicht, wenn ich den inneren try-catch block entferne.
                        throw;
                    }
                }
            }
            else OnSampleCreationCompleted();
        }                    

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using System;
using System.Threading;

namespace Thread_und_Exception
{
  class Program
  {
    private static readonly object _locker = new object();
    private static Exception _threadException;
    private static AutoResetEvent _signal = new AutoResetEvent(false);
    //---------------------------------------------------------------------
    static void Main(string[] args)
    {
      Console.WriteLine("Thread starten...");

      try
      {
        // Thread starten:
        ThreadPool.QueueUserWorkItem(MacheFehler);
        _signal.WaitOne();

        // Prüfen ob ein Fehler aufgetreten ist:
        if (_threadException != null)
          throw _threadException;
      }
      catch (Exception ex)
      {
        Console.WriteLine(ex);
      }

      Console.WriteLine("Warten bis Thread fertig ist.");
      Console.WriteLine("Ende.");
      Console.ReadKey();
    }
    //---------------------------------------------------------------------
    public static void MacheFehler(object o)
    {
      try
      {
        Console.WriteLine("Im Thread.");

        // Fehler auslösen:
        throw new Exception("Fehler im Thread.");

        Console.WriteLine("Thread Ende.");
      }
      catch (Exception ex)
      {
        // Threadsicherheit -> es könnten ja zwei Threads gleichzeit
        // darauf zugreifen wollen:
        lock (_locker)
        {
          _threadException = new Exception(ex.Message, ex);
        }        
      }

      // Benachrichtigen dass Thread fertig ist:
      _signal.Set();
    }
  }
}                    

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[STAThread]
static void Main()
{
  Application.ThreadException +=
    (sender, e) => MessageBox.Show(e.Exception.ToString());

  Application.EnableVisualStyles();
  Application.SetCompatibleTextRenderingDefault(false);
  Application.Run(new Form1());
}                    

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try {
  Invoke(HandleFooResult, NonGuiClass.Foo(...));
} catch (Exception e) {
  Invoke(HandleFooException, e);
}                    

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public void CreateSamplesAsync(CsvAggregator csvAggregator, SettingsTeach settingsTeach, string guidStr)                    

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public partial class UITeachDgv : Form
    {
    [...]

private void buttonTeach_Click(object send, EventArgs ea)
        {
         [...]

            ThreadPool.QueueUserWorkItem(ignore => sampleAggregator.CreateSamplesAsync(this.csvAggregator, this.settingsTeach, this.guidStr)); // (creation of data start)
        }
}                    

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try {
  Invoke(HandleFooResult, NonGuiClass.Foo(...));
} catch (Exception e) {
  Invoke(HandleFooException, e);
}                    

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Task<FooResult> fooTask;

[...]

fooTask = Task<FooResult>.Factory.StartNew(() =>
{
    try
    {
        return NonGuiClass.Foo();
    }
    finally
    {
        Invoke(FetchFooTaskResults);
    }
});

FormClosed:
    FetchFooTaskResults();

FetchFooTaskResults:
    fooTask.Wait();
    fooTask.Exception/Result...