在控制台应用程序中使用try{..}catch{..}

我想请您解释一下异常系统是如何在下面这段代码中工作的:

    static void Main(string[] args)
    {
        try
        {
            //Code which throws exceptions from time to time and runs in a loop
        }
        catch (Exception ex)
        {
            Console.WriteLine(ex.ToString());
        }
        Console.ReadKey();
    }

我注意到一些令我吃惊的事情。当抛出异常时，try{…}块仍在运行，并可能抛出更多的异常，这些异常将被打印到控制台窗口。循环内的代码不应该完成执行并"跳转"到最后的Console.ReadKey()吗?

@EDIT:

里面的代码很复杂，可能需要几页。我可以告诉你，我在里面做了多个异步操作，比如下载文件、接收数据包等。换句话说，在循环中还创建了其他线程。

@EDIT2:大概这是负责行为的代码:

public SomeConstructor(Socket server)
    {
        _pb = new PacketBuilder(server, c);
        SocketWrapper sw = new SocketWrapper(server, Globals.recvBufferSize);
        sw.Socket.BeginReceive(sw.Buffer, 0, Globals.recvBufferSize, SocketFlags.None,PacketReceiveCallback, sw);
        _pi = new PacketInterpreter(this, c);
    }
    private void PacketReceiveCallback(IAsyncResult iar)
    {
        SocketWrapper sw = iar.AsyncState as SocketWrapper;
        int bytesReceived = sw.Socket.EndReceive(iar);
        _pi.Interpret(sw.Buffer, 0, bytesReceived);
        if (bytesReceived > 0)
            sw.Socket.BeginReceive(sw.Buffer, 0, Globals.recvBufferSize, SocketFlags.None, PacketReceiveCallback, sw);
    }

static void Main(string[] args)
{
    try
    {
        //Code which throws exceptions from time to time and runs in a loop
        Console.WriteLine("Line 1");
        throw new Exception("Sample Exception"); // your code will stop here and following line will not prine.
        Console.WriteLine("This line will not print");
    }
    catch (Exception ex)
    {
        Console.WriteLine(ex.ToString());
    }
    Console.ReadKey();
}