Is throwing c++ exceptions across dll boundaries good

My first rule of using DLLs with C++ is don't. It's generally more pain in the bottom than it's worth.

If I can't follow my first rule my second rule is don't give a DLL a C++ interface, just use a plain C interface instead. This means use opaque pointers, primitive types and POD structures for objects passed across the interface and don't propagate exceptions either.

My third rule if you can't follow the second rule is give clients the source code so they can compile their own version of the code with the compiler they build their applications with. If you do this you can do whatever you want at the interface as you know that however the compiler implements name mangling, exception propagation and the process heap it'll all work.

There's some ways you can use some C++ constructs between DLLs. As an example most compilers for Windows use compatible v-tables (COM wouldn't work if they didn't) so you might be able to pass pointers to interface classes across the interface and expect them to be called properly even if you use different compilers with different methods of name mangling. Whether these techniques are worth doing depends on how much emasculation of the language you're willing to tolerate.