Krzysztof Cwalina, owner of the Framework Design Guidelines, has written a great post on designing exception hierarchies. He gives a great overview on the different categories of exceptions, which are placed under two main buckets he calls usage and system, and the right situations to throw them.
This post also goes hand-in-hand with some of the previous posts on this blog:
FAQ: What exception should I throw instead of the reserved exceptions that DoNotRaiseReservedExceptionTypes warns against?
FAQ: Why does FxCop warn against catch(Exception)? (Part 1, Part 2 and Part 3)