Visual Studio users know that when they want to break into source code when any exception occurs, they go into the Exception Settings (in Visual Studio 2015, choose Debug > Windows > Exception Settings) and switch on any or all Common Language Runtime Exceptions):
The same exists in Xamarin Studio, although maybe less intuitive to find. In the Run menu, choose New Exception Watchpoint (to be complete, the commands New Breakpoint, New Function Breakpoint and New Exception Watchpoint all show you the same dialog):
If you want to break on all exceptions, just put System.Exception inside the text entry, or choose any specific exception(s).
In this same dialog you can even put a function name as the defined breakpoint, or a specific location in code.