I was fighting with this a whole day asking my users to run debug versions of the software. Because it looked like it didn't run the first line. Just a crash without information.
Then I realized that the error was inside the form's InitializeComponent.
The way to get an exception was to remove this line (or comment it out):
System.Diagnostics.DebuggerStepThrough()
Once you get rid of the line, you'll get a normal exception.