Will ConfigurationManager.AppSettings["blah"] throw an exception if "blah" doesn't exist?

No, it returns null.

From the MSDN documentation for NameValueCollection.Item Property (String):

Caution

This property returns null in the following cases: 1) if the specified key is not found; and 2) if the specified key is found and its associated value is null. This property does not distinguish between the two cases.

No, it returns null.

AppSettings is a NameValueCollection - as per the caution on the NameValueCollection.Get page:

This method returns a null reference (Nothing in Visual Basic) in the following cases: 1) if the specified key is not found; and 2) if the specified key is found and its associated value is a null reference (Nothing in Visual Basic). This method does not distinguish between the two cases.