I just found out after tracking down a weird popup alert error "Object reference not set to an instance of an object" that it was being caused inside an ASP.NET asmx web service being called from a ComponentArt grid control. The web service was causing an exception but it was not caught by Application_Error!
I spent a few hours trying to find out where on the client the exception was occurring before tracking it to the web service. I figured nothing was happening on the server since Application_Error didn't log the error for me.
So, unless you know something I don't know, make sure you add your own error handling to your Web Services.