Here's a little light reading for your day-after-Labor-Day (or whatever yesterday was where you live): Unchecked Exceptions can be Strictly More Powerful than Call/CC, Mark Lillibridge and Olivier Danvy, 1999, Higher-Order and Symbolic Computation.

We demonstrate that in the context of statically-typed purely-functional lambda calculi without recursion, unchecked exceptions (e.g., SML exceptions) can be strictly more powerful than call/cc. More precisely, we prove that a natural extension of the simply-typed lambda calculus with unchecked exceptions is strictly more powerful than all known sound extensions of Girardâ€™s FÏ‰ (a superset of the simply-typed lambda calculus) with call/cc. This result is established by showing that the first language is Turing complete while the later languages permit only a subset of the recursive functions to be written.

I have to say that on seeing the title I was surprised: I cut my functional teeth on Scheme and every baby Schemer sucks up the knowledge that call/cc lets you create all manner of flow control including exceptions. But, as the paper makes clear, that's not necessarily the case in a statically-typed context.

Edit: Citeseerx was not responding very well, here's an alternative URL for the paper.