Call-stack for exceptions in C++
No, it is deeply horrible, and I don't see why you need a call stack in the exception itself - I find the exception reason, the line number and the filename of the code where the initial exception occurred quite sufficient.
Having said that, if you really must have a stack trace, the thing to do is to generate the call stack info ONCE at the exception throw site. There is no single portable way of doing this, but using something like http://stacktrace.sourceforge.net/ combined with and a similar library for VC++ should not be too difficult.
What you are doing is not good practice. Here's why:
1. It's unnecessary.
If you compile your project in debug mode so that debugging information gets generated, you can easily get backtraces for exception handling in a debugger such as GDB.
2. It's cumbersome.
This is something you have to remember to add to each and every function. If you happen to miss a function, that could cause a great deal of confusion, especially if that were the function that caused the exception. And anyone looking at your code would have to realize what you are doing. Also, I bet you used something like __FUNC__ or __FUNCTION__ or __PRETTY_FUNCTION__, which sadly to say are all non-standard (there is no standard way in C++ to get the name of the function).
3. It's slow.
Exception propagation in C++ is already fairly slow, and adding this logic will only make the codepath slower. This is not an issue if you are using macros to catch and rethrow, where you can easily elide the catch and rethrow in release versions of your code. Otherwise, performance could be a problem.
Good practice
While it may not be good practice to catch and rethrow in each and every function to build up a stack trace, it is good practice to attach the file name, line number, and function name at which the exception was originally thrown. If you use boost::exception with BOOST_THROW_EXCEPTION, you will get this behavior for free. It's also good to attach explanatory information to your exception that will assist in debugging and handling the exception. That said, all of this should occur at the time the exception is constructed; once it is constructed, it should be allowed to propagate to its handler... you shouldn't repeatedly catch and rethrow more than stricly necessary. If you need to catch and rethrow in a particular function to attach some crucial information, that's fine, but catching all exceptions in every function and for the purposes of attaching already available information is just too much.