To catch those elusive error messages you could also try:

Declare @SQL nVarChar(4000)
Set @SQL=N'osql -Usa -P -Q"declare @t table(PKey Int not Null) insert @t select Null"'
Exec xp_CmdShell @SQL

and do whatever you want with the response

IF  EXISTS (SELECT * FROM dbo.sysobjects 
WHERE id = OBJECT_ID(N'[dbo].[usp_errorhandling]') 
AND OBJECTPROPERTY(id,N'IsProcedure') = 1)
DROP PROCEDURE [dbo].[usp_errorhandling]
GO
SET ANSI_NULLS ON
GO
SET QUOTED_IDENTIFIER ON
GO
--------------------------------------------------------------------
--Purpose:		Error handling example 
--Changes:							  
--			Bill Nye	4/29/08	Created			  
--------------------------------------------------------------------
CREATE PROCEDURE [dbo].[usp_errorhandling] 
	@Branch int ,
	@Division int ,
	@errormsg varchar(1000) output
AS
SET NOCOUNT ON
DECLARE @errorid int 

Select 1/0				-- Purposely cause error
Set @errorid=@@Error
	IF @errorid <> 0
	BEGIN
		SELECT @errormsg=description FROM master.dbo.sysmessages 
                                      WHERE error=@errorid
		SET @errormsg='Error updating when Division_ID=' 
                                 + Cast(@Division as char(1)) + ' and Branch_ID=' 
                                 + Cast(@Branch as varchar(3)) + ' in usp_errorhandling: '
                                 + @errormsg  
		RAISERROR(@errormsg,16,1)
	END
		
GO
-------------------------------

DECLARE @RC Int, @errormsg varchar(1000)
EXEC @RC = [dbo].[usp_errorhandling] 999, 9, @errormsg OUTPUT
Print @errormsg
Print @rc

GO

DROP PROCEDURE [dbo].[usp_errorhandling]	-- Cleanup