Mike nailed it pretty well. I can't add much.

But I'll say this. Imagine a piece of TSQL code that, let's say, inserts data into three tables. You can put a TRY statement at the beginning and a CATCH statement at the end. Alternatively you can capture @@ERROR over and over again, including code using a GOTO to get to the error handler, all messy. Further, each and every statement, including checking @@ERROR resets @@ERROR so you can easily lose the error values.

It's just a mess. TRY/CATCH is a huge leap forward.