Which is correct? catch (_com_error e) or catch (_com_error& e)?

The second. Here is my attempt at quoting Sutter

"Throw by value, catch by reference"

Learn to catch properly: Throw exceptions by value (not pointer) and catch them by reference (usually to const). This is the combination that meshes best with exception semantics. When rethrowing the same exception, prefer just throw; to throw e;.

Here's the full Item 73. Throw by value, catch by reference.

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The reason to avoid catching exceptions by value is that it implicitly makes a copy of the exception. If the exception is of a subclass, then information about it will be lost.

try { throw MyException ("error") } 
catch (Exception e) {
    /* Implies: Exception e (MyException ("error")) */
    /* e is an instance of Exception, but not MyException */
}

Catching by reference avoids this issue by not copying the exception.

try { throw MyException ("error") } 
catch (Exception& e) {
    /* Implies: Exception &e = MyException ("error"); */
    /* e is an instance of MyException */
}

Personally, I would go for the third option:

catch (const _com_error& e)