One important consideration that I think everybody is missing here is a load-balancing (web farm) scenario. Since the server that's executing global.asax may be different than the server that's about the execute the custom error page, stashing the exception object in Application is not reliable.
I'm still looking for a reliable solution to this problem in a web farm configuration, and/or a good explanation from MS as to why you just can't pick up the exception with Server.GetLastError on the custom error page like you can in global.asax Application_Error.
P.S. It's unsafe to store data in the Application collection without first locking it and then unlocking it.