<p>The questions says everything, take this example code: </p>

<pre><code>&lt;ul id="css-id"&gt;
    &lt;li&gt;
    &lt;something:CustomControl ID="SomeThingElse" runat="server" /&gt;
    &lt;something:OtherCustomControl runat="server" /&gt;
    &lt;/li&gt;
&lt;/ul&gt;
</code></pre>

<p>Now if an error gets thrown somewhere inside these controlls (that are located in a master page) they will take down the entire site, how would one catch these exceptions?</p>

You can catch all exception not handled elswhere in the Global.asax page / class. 
Look at:
```
```
protected void Application_Error(Object sender, EventArgs e)
```
```
method.