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Define First Chance Exception in .NET

              When an application is being debugged, the debugger gets notified whenever an exception is encountered  At this point, the application is suspended and the debugger decides how to handle the exception. The first pass through this mechanism is called a "first chance" exception.
               In Visual Studio, you may see a message in the output window that looks like this:
              A first chance exception of type 'System.ApplicationException' occurred in myapp.exe
              First chance exception messages most often do not mean there is a problem in the code. For applications / components which handle exceptions gracefully, first chance exception messages let the developer know that an exceptional situation was encountered and was handled.