Exceptions in C++ should be thrown by value, and caught by reference.
So this is the proper way:
try
{
throw FoobarException(argument);
}
catch( const FoobarException &ex )
{
cout << ex.what() << endl;
}
Don't throw an exception created with new, since who's responsible for deleting it is not well-defined. In addition, performing allocations during error handling can throw another exception, obscuring the original problem.
You don't have to catch by const reference (non-const will work fine), but I like doing it anyway. You should however always by reference (not by value) to catch the exception polymorphically. If you don't, the exception's type could be sliced.