Currently, the only portable way is to write catch clauses for all the types of exceptions that you might like to transfer between threads, store the information somewhere from that catch clause and then use it later to rethrow an exception. This is the approach taken by Boost.Exception.

In C++0x, you will be able to catch an exception with catch(...) and then store it in an instance of std::exception_ptr using std::current_exception(). You can then rethrow it later from the same or a different thread with std::rethrow_exception().