Why use finally in C#?

Most advantages of using try-finally have already been pointed out, but I thought I'd add this one:

try
{
    // Code here that might throw an exception...

    if (arbitraryCondition)
    {
        return true;
    }

    // Code here that might throw an exception...
}
finally
{
    // Code here gets executed regardless of whether "return true;" was called within the try block (i.e. regardless of the value of arbitraryCondition).
}

This behaviour makes it very useful in various situations, particularly when you need to perform cleanup (dispose resources), though a using block is often better in this case.

The code inside a finally block will get executed regardless of whether or not there is an exception. This comes in very handy when it comes to certain housekeeping functions you need to always run like closing connections.

Now, I'm guessing your question is why you should do this:

try
{
    doSomething();
}
catch
{
    catchSomething();
}
finally
{
    alwaysDoThis();
}

When you can do this:

try
{
    doSomething();
}
catch
{
    catchSomething();
}

alwaysDoThis();

The answer is that a lot of times the code inside your catch statement will either rethrow an exception or break out of the current function. With the latter code, the "alwaysDoThis();" call won't execute if the code inside the catch statement issues a return or throws a new exception.