Bill,
CLR stuff is an obvious winner when it comes to mathematically complicated operations. String shredding and scalar functions are just 2 areas where I envisage alot of quick wins using the CLR.
On the off-chance that you're going to PASS Europe, my colleague Christian Wade is doing a presentation on this very subject....when, where and how to use CLR integration in the data tier.
By the way, TRY...CATCH is available in the new CLR integration but FINALLY isn't (as far as I know).