Are nested Try/Catch blocks a bad idea?

Let's say we have a structure like so:

Try
  ' Outer try code, that can fail with more generic conditions, 
  ' that I know less about and might not be able to handle

  Try
    ' Inner try code, that can fail with more specific conditions,
    ' that I probably know more about, and are likely to handle appropriately
  Catch innerEx as Exception
    ' Handle the inner exception
  End Try

Catch outerEx as Exception
  ' Handle outer exception
End Try

I have seen some opinions that nesting Try blocks like this is discouraged, but I could not find any specific reasons.

Is this bad code? If so, why?

There are certain circumstances where they're a good idea, e.g. one try/catch for the whole method and another inside a loop as you want to handle the exception and continue processing the rest of a collection.

Really the only reason to do it is if you want to skip the bit that errored and carry on, instead of unwinding the stack and losing context. Opening multiple files in an editor is one example.

That said, exceptions should (as the name implies) be exceptional. A program should handle them but try to avoid them as part of normal execution flow. They're computationally expensive in most languages (Python being one notable exception).

One other technique which can be useful is catching specific exception types...

Try
	'Some code to read from a file

Catch ex as IOException
	'Handle file access issues (possibly silently depending on usage)
Catch ex as Exception
	' Handle all other exceptions.
	' If you've got a handler further up, just omit this Catch and let the 
	' exception propagate
	Throw
End Try

We also use nested try/catches in our error handling routines...

	Try
        Dim Message = String.Format("...", )
		Try
			'Log to database
		Catch ex As Exception
			'Do nothing
		End Try

		Try
			'Log to file
		Catch ex As Exception
			'Do nothing
		End Try
	Catch ex As Exception
		'Give up and go home
	End Try

I actually don't think there's anything inherently wrong about nested Try/Catch blocks, except that they can be difficult to navigate and are likely a sign that you could do some refactoring (the inner Try/Catch into its own method, for example).

But I do want to address this comment:

' Outer try code, that can fail with more generic conditions, 
' that I know less about and might not be able to handle

If you don't know how to handle exceptions in a particular situation, trust me: don't catch them. Better to let your app crash (I mean, you know, log it; just don't swallow it) than to catch something you don't know how to recover from and then let your app continue merrily on its way in a corrupted state. Behavior will be unpredictable at best from that point on.