Considere os dois aplicativos a seguir:

1:

public partial class MainWindow : Window
{
    public MainWindow()
    {
        InitializeComponent();
        this.Dispatcher.UnhandledException += Dispatcher_UnhandledException;
    }

    void Dispatcher_UnhandledException(object sender, DispatcherUnhandledExceptionEventArgs e)
    {
        System.Diagnostics.Debug.WriteLine(e.Exception.GetType());
    }

    private void Button_Click(object sender, RoutedEventArgs e)
    {
        this.Dispatcher.BeginInvoke((ThreadStart)delegate
        {
            throw new AccessViolationException("test");
        }, DispatcherPriority.Input);
    }
}

2:

public partial class MainWindow : Window
{
    public MainWindow()
    {
        InitializeComponent();
        this.Dispatcher.UnhandledException += Dispatcher_UnhandledException;
    }

    void Dispatcher_UnhandledException(object sender, DispatcherUnhandledExceptionEventArgs e)
    {
        System.Diagnostics.Debug.WriteLine(e.Exception.GetType());
    }

    private void Button_Click(object sender, RoutedEventArgs e)
    {
        Dispatcher.BeginInvoke((Action)delegate
        {
            throw new AccessViolationException("test");
        }, DispatcherPriority.Input);
    }
}

Ambos os aplicativos são idênticos, exceto pelo uso de dois tipos diferentes de delegados,Action eThreadStart(que possuem a mesma assinatura).

Resultados (janela de saída, quando você chama o manipulador de eventos usando um clique no botão)

1: System.Reflection.TargetInvocationException2: System.AccessViolationException

Por que os aplicativos diferem no comportamento?

Pilha completa para a exceção 1:

System.Reflection.TargetInvocationException: Ein Aufrufziel hat einen Ausnahmefehler verursacht. ---> System.AccessViolationException: test
   bei ExceptionTest.MainWindow.<Button_Click>b__0() in c:\Users\fschmitz\Documents\Visual Studio 11\Projects\ExceptionTest\MainWindow.xaml.cs:Zeile 40.
   --- Ende der internen Ausnahmestapelüberwachung ---
   bei System.RuntimeMethodHandle.InvokeMethod(Object target, Object[] arguments, Signature sig, Boolean constructor)
   bei System.Reflection.RuntimeMethodInfo.UnsafeInvokeInternal(Object obj, Object[] parameters, Object[] arguments)
   bei System.Delegate.DynamicInvokeImpl(Object[] args)
   bei System.Windows.Threading.ExceptionWrapper.InternalRealCall(Delegate callback, Object args, Int32 numArgs)
   bei MS.Internal.Threading.ExceptionFilterHelper.TryCatchWhen(Object source, Delegate method, Object args, Int32 numArgs, Delegate catchHandler)