If I understand correctly, you have a page that at some point calls Select() on an ObjectDataSource and that this call sometimes fails with an exception.
Now that you are handling this exception, it depends to some extent on your scenario. in general, you should try and handle exceptions at the earliest point where it makes sense, here is where you can do something useful in response to an error. For a website, which may be at the point where you can redirect the user to the error page, for example.
Please note that this early point where it makes sense can be pretty late if you redirect the user to a page with an error, it can be as high as the level of ui (or page). You may at some earlier point try to catch the exception and retry the request, and if that fails, restore the exception
Sorry for awnser vauge, but it really depends :)
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