Exception handling in ASP.NET allows applications to gracefully handle errors using try-catch blocks to handle exceptions at the class level, the Page_Error event to handle errors at the page level, and the Application_Error event to handle errors globally. Validation controls like RequiredFieldValidator and CompareValidator validate user input on both the client-side and server-side to ensure proper data and reduce round trips to the server. Custom error pages can be configured in the Web.config file to handle different HTTP error codes like 404 and 500 errors.