Having trouble getting NUnit's Assert.Throws to work properly

I could have sworn that I've used NUnit's Assert.Throws to determine whether or not a particular exception gets thrown from a method, but my memory has failed me before. I read this post here on SO, but it didn't answer my question, as I know the correct syntax, and I don't want to do anything with the exception that gets returned (I don't want to look at the Exception's members, though this could be useful down the road).

I wrote unit tests to prove my lack of understanding in the use of Dictionary, and couldn't get it handle the KeyNotFoundException that gets thrown. Instead of NUnit catching it and passing the test, I get an unhandled KeyNotFoundException error when I run. I verified that I don't have the VS IDE set up to break on thrown .NET exceptions.

I've tried this two ways:

Assert.Throws( typeof(KeyNotFoundException), () => value = prefs["doesn't exist"]);

and

Assert.Throws<KeyNotFoundException>( () => value = prefs["doesn't exist"]);

but both result in an unhandled exception. What am I missing here?

UPDATE seems like others can't reproduce this. Here's a screenshot:

The debugger is stating that your exception is not being handled by user code, which is technically true. To demonstrate, I'll use the sample test sgreeve provided

[Test]
public void demonstrateThatExceptionThrown()
{
    string value;
    Dictionary<string, string> test = new Dictionary<string, string>();
    Assert.Throws(typeof(KeyNotFoundException), () => value = test["h"]);
}

When you execute it, you will receive a warning in VisualStudio that the exception is unhandled in user code. If you look at the callstack, you will see something like

[External Code]
CodeTests.DLL!CodeTests.MiscTests.demonstrateThatExceptionThrown.AnonymousMethod()
[External Code]
CodeTests.DLL!CodeTests.MiscTests.demonstrateThatExceptionThrown()
[External Code]

Because you have specified a delegate, the exception is happening within the "AnonymousMethod" that was created. This is being called by the .Net framework. The debugger is stopping because your delegate isn't handling the exception before it gets passed back to the framework. It doesn't care that further up the stack it might be handled in your code (perhaps since there is no way to guarantee that the external code will handle the exception correctly.)

To have VisualStudio see this as a handled exception, use the ExpectedException attribute and remove the delegate, like so:

[Test]
[ExpectedException(typeof(KeyNotFoundException))]
public void demonstrateThatExceptionThrown()
{
    string value;
    Dictionary<string, string> test = new Dictionary<string, string>();
    value = test["h"];
}