"Chapter 13: Exceptions in Lua" in Lua Programming Gems (see LuaBooks) by JohnBelmonte identifies limitations in the language, implements a simple try/catch function, describes issues using (non-string) error objects, and implements a D-like scope manager (alternative to try/catch).
FinalizedExceptions - discusses an exception scheme with protect and newtry functions
CatchingLuaExceptions - a set of patches that facilitate lua exception handling in C and C++