public App() {
    this.Dispatcher.UnhandledException += OnDispatcherUnhandledException;
}

void OnDispatcherUnhandledException(object sender, System.Windows.Threading.DispatcherUnhandledExceptionEventArgs e) {
    string errorMessage = string.Format("An unhandled exception occurred: {0}", e.Exception.Message);
    MessageBox.Show(errorMessage,"Error", MessageBoxButton.OK, MessageBoxImage.Error);
    // OR whatever you want like logging etc. MessageBox it's just example
    // for quick debugging etc.
    e.Handled = true;
}

<Application .... Startup="Application_Startup">

using System.Windows.Threading;

private void Application_Startup(object sender, StartupEventArgs e)
{
    // Global exception handling  
    Application.Current.DispatcherUnhandledException += new DispatcherUnhandledExceptionEventHandler(AppDispatcherUnhandledException);    
}

void AppDispatcherUnhandledException(object sender, DispatcherUnhandledExceptionEventArgs e)
{    
    \#if DEBUG   // In debug mode do not custom-handle the exception, let Visual Studio handle it

    e.Handled = false;

    \#else

    ShowUnhandledException(e);    

    \#endif    
}

void ShowUnhandledException(DispatcherUnhandledExceptionEventArgs e)
{
    e.Handled = true;

    string errorMessage = string.Format("An application error occurred.
Please check whether your data is correct and repeat the action. If this error occurs again there seems to be a more serious malfunction in the application, and you better close it.

Error: {0}

Do you want to continue?
(if you click Yes you will continue with your work, if you click No the application will close)",

    e.Exception.Message + (e.Exception.InnerException != null ?"
" +
    e.Exception.InnerException.Message : null));

    if (MessageBox.Show(errorMessage,"Application Error", MessageBoxButton.YesNoCancel, MessageBoxImage.Error) == MessageBoxResult.No)   {
        if (MessageBox.Show("WARNING: The application will close. Any changes will not be saved!
Do you really want to close it?","Close the application!", MessageBoxButton.YesNoCancel, MessageBoxImage.Warning) == MessageBoxResult.Yes)
    {
        Application.Current.Shutdown();
    }
}

public sealed partial class App
{
    protected override void OnStartup(StartupEventArgs e)
    {
        // setting up the Dependency Injection container
        var resolver = ResolverFactory.Get();

        // getting the ILogger or ILog interface
        var logger = resolver.Resolve<ILogger>();
        RegisterGlobalExceptionHandling(logger);

        // Bootstrapping Dependency Injection
        // injects ViewModel into MainWindow.xaml
        // remember to remove the StartupUri attribute in App.xaml
        var mainWindow = resolver.Resolve<Pages.MainWindow>();
        mainWindow.Show();
    }

    private void RegisterGlobalExceptionHandling(ILogger log)
    {
        // this is the line you really want
        AppDomain.CurrentDomain.UnhandledException +=
            (sender, args) => CurrentDomainOnUnhandledException(args, log);

        // optional: hooking up some more handlers
        // remember that you need to hook up additional handlers when
        // logging from other dispatchers, shedulers, or applications

        Application.Dispatcher.UnhandledException +=
            (sender, args) => DispatcherOnUnhandledException(args, log);

        Application.Current.DispatcherUnhandledException +=
            (sender, args) => CurrentOnDispatcherUnhandledException(args, log);

        TaskScheduler.UnobservedTaskException +=
            (sender, args) => TaskSchedulerOnUnobservedTaskException(args, log);
    }

    private static void TaskSchedulerOnUnobservedTaskException(UnobservedTaskExceptionEventArgs args, ILogger log)
    {
        log.Error(args.Exception, args.Exception.Message);
        args.SetObserved();
    }

    private static void CurrentOnDispatcherUnhandledException(DispatcherUnhandledExceptionEventArgs args, ILogger log)
    {
        log.Error(args.Exception, args.Exception.Message);
        // args.Handled = true;
    }

    private static void DispatcherOnUnhandledException(DispatcherUnhandledExceptionEventArgs args, ILogger log)
    {
        log.Error(args.Exception, args.Exception.Message);
        // args.Handled = true;
    }

    private static void CurrentDomainOnUnhandledException(UnhandledExceptionEventArgs args, ILogger log)
    {
        var exception = args.ExceptionObject as Exception;
        var terminatingMessage = args.IsTerminating ?" The application is terminating." : string.Empty;
        var exceptionMessage = exception?.Message ??"An unmanaged exception occured.";
        var message = string.Concat(exceptionMessage, terminatingMessage);
        log.Error(exception, message);
    }
}

Application.Current.DispatcherUnhandledException

 System.Threading.Thread t = new System.Threading.Thread(() =>
    {
        try
        {
            ...
            //this exception will not be catched by
            //Application.DispatcherUnhandledException
            throw new Exception("huh..");
            ...
        }
        catch (Exception ex)
        {
            //But we can handle it in the throwing thread
            //and pass it to the main thread wehre Application.
            //DispatcherUnhandledException can handle it
            System.Windows.Application.Current.Dispatcher.Invoke(
                System.Windows.Threading.DispatcherPriority.Normal,
                new Action<Exception>((exc) =>
                    {
                      throw new Exception("Exception from another Thread", exc);
                    }), ex);
        }
    });