Tim McCune has an excellent article on Exception handling in Java on the java.net site.
In the article he introduces the different types of Exception in Java (Checked, Unchecked, Error), explains their purpose and how they should be used. He also covers a number of Exception handling antipatterns that are commonly seen in Java code, patterns usually written by someone who does not have a good understanding of how Exceptions should be used in Java.
This is an excellent article on Exception handling – if you are unsure about exception handling then take a read of this article.