Force break on any exception thrown in program

VS2015 and later: Go into Debug > Windows > Exception Settings and check the tick box against Common Language Runtime Exceptions (below the 'Break When Thrown' column header).

VS2013 and earlier: Go into Debug > Exceptions and check the Thrown box against Common Language Runtime Exceptions.

You may get a lot of noise this way though, as this will also break on exceptions thrown in libraries or inside the framework itself.