I would like to respectfully disagree with the previous post. While Mr. Richter is right, there are some problems in the .NET Framework back in June 2006 (do we know if it has been fixed in 3.5?) I still think it is useful to separate your exceptions by System and Application.
We have coding best practices around using ApplicationException and it makes it easier to separate our exceptions from the SystemExceptions. I will admit, however, we do occasionally catch some exceptions that are not from our application.