What severity are you using in your raiserror? The following causes a
System.Data.SqlClient.SqlException to be raised in the client:

raiserror('Error Message', 17, 1)
return

The exceptions message property is "Error Message" in this case.

try this in your stored proc

RAISEERROR(N'This is a message %s %d', -- message text
 16, --severity
 1, --state
 N'number', --first argument
 5); --second argument

and in your code you can get this error message in the SqlException object

try
{
 ExecuteSP();
}
catch(SqlException ex)
{
 Console.WriteLine(ex); //ex.Message will have the message text you used in
raiseerror
}