In the same way that set_error_handler() sets a handler for uncaught errors, set_exception_handler() sets a handler for uncaught exceptions. As exceptions are more powerful than errors, your exception-handling function need only take one parameter: an exception object. From that you can glean the usual information such as message, line number, etc.
Apart from the parameters passed, these work the same as set_error_handler(). Here's an example:
throw(newException('The engines cannie take much more!')); ?>
Having a custom exception handler is actually a smart move wherever you're using exceptions, because it essentially captures all exceptions that would otherwise have been uncaught, and gives you one last chance to take some action before the script potentially terminates.