Test if string is a guid without throwing exceptions?

You're not going to like this but what makes you think that catching the exception is going to be slower?

How many failed attempts to parse a GUID are you expecting in comparison with successful ones?

My advice is use the function you've just created and profile your code. If you find that this function is truely a hotspot then fix it but not before.

Performance Benchmarks

Catch exception:
   10,000 good:    63,668 ticks
   10,000 bad:  6,435,609 ticks

Regex Pre-Screen:
   10,000 good:   637,633 ticks
   10,000 bad:    717,894 ticks

COM Interop CLSIDFromString
   10,000 good:   126,120 ticks
   10,000 bad:     23,134 ticks

COM Intertop (Fastest) Answer:

/// <summary>
/// Attempts to convert a string to a guid.
/// </summary>
/// <param name="s">The string to try to convert</param>
/// <param name="value">Upon return will contain the Guid</param>
/// <returns>Returns true if successful, otherwise false</returns>
public static Boolean TryStrToGuid(String s, out Guid value)
{
   //ClsidFromString returns the empty guid for null strings   
   if ((s == null) || (s == ""))   
   {      
      value = Guid.Empty;      
      return false;   
   }

   int hresult = PInvoke.ObjBase.CLSIDFromString(s, out value);
   if (hresult >= 0)
   {
      return true;
   }
   else
   {
      value = Guid.Empty;
      return false;
   }
}


namespace PInvoke
{
    class ObjBase
    {
        /// <summary>
        /// This function converts a string generated by the StringFromCLSID function back into the original class identifier.
        /// </summary>
        /// <param name="sz">String that represents the class identifier</param>
        /// <param name="clsid">On return will contain the class identifier</param>
        /// <returns>
        /// Positive or zero if class identifier was obtained successfully
        /// Negative if the call failed
        /// </returns>
        [DllImport("ole32.dll", CharSet = CharSet.Unicode, ExactSpelling = true, PreserveSig = true)]
        public static extern int CLSIDFromString(string sz, out Guid clsid);
    }
}

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Bottom line: If you need to check if a string is a guid, and you care about performance, use COM Interop.

If you need to convert a guid in String representation to a Guid, use

new Guid(someString);

Once .net 4.0 is available you can use Guid.TryParse().