What I've seen so far and I like is to use small helper methods to signal exceptions:

"usage"

Dictionary >> at: aKey

...

self keyNotFound: aKey.

"helper method to fill the exceptions params"

Dictionary >> keyNotFound: aKey

KeyNotFoundException signalWithKey: aKey

"helper to signal an Exception"

KeyNotFoundException class >> signalWithKey: aKey

self new

key: aKey;

signal.

At least one of the helper methods should be present to make the code more readable, I think.

And as Mariano pointed out, there should be a convention on the naming: I am still not sure about suffixing the exception classes with "Exception", but I guess this is a good thing to do. Though I must say that I omitted it so far ;) and just put the verb there, but that can be easily changed.

The exception hierarchy looks nice ;), I think in this matter we can learn a bit from Java.

And I would certainly like to see these error messages infect the whole system ;).

camillo