At my current project we came across the problem that we didn't receive our exception anymore but a TargetInvocationException.  After a little investigation we found where our exception was.  So here's a little explication about it.

When using reflection to create your assemblies, reflection will act like remoting.  So it will invoke your method.  Hereby we have a proxy and the stub.  The moment that in the stub an exception is thrown this exception will be wrapped in a TargetInvocationException.  To see the real exception you can take the innerexception of the exception.