I know this is not the way to do it, and it isn't clean at all. I just wonder if it's possible.
If I have a class with a bunch of methods
public class Foo {
   methodA() {}
   methodB() {}
   methodC() {}
}
Is it possible to catch all exceptions that could possibly occur without having to write a try/catch in each method?
Yes it is. The simplest way would be a Attribute for this class like this one:
[AttributeUsage(AttributeTargets.Class | AttributeTargets.Method, AllowMultiple = false, Inherited = true)]
public class HandleErrorAttribute : FilterAttribute, IExceptionFilter
{
    public void OnException(ExceptionContext filterContext)
    {
        if (filterContext == null)
        {
            throw new ArgumentNullException("filterContext");
        }
        if (filterContext.ExceptionHandled)
        {
            return;
        }
        var exception = filterContext.Exception;
        // that need to be your current request object. In this case I use a custom one so I must fetch it from the items collection of the current request, where I had stored it before.
        var request = filterContext.HttpContext.Items[Request.RequestKey] as Request;
        if (request != null)
        {
            // overwrite ErrorResponse with a response object of your choice or write directly to the filterContext.HttpContext.Response
            var errorResponse = new ErrorResponse(request, exception); 
            errorResponse.Write(filterContext.HttpContext.Response);
            filterContext.ExceptionHandled = true;
        }
    }
}
// Or a just slightly modified version of the default ASP.Net MVC HandleError Attribute
[AttributeUsage(AttributeTargets.Method | AttributeTargets.Class, Inherited = true, AllowMultiple = true)]
    public class CustomHandleErrorAttribute : FilterAttribute, IExceptionFilter
    {
        // Fields
        private const string _defaultView = "Error";
        private string _master;
        private readonly object _typeId = new object();
        private string _view;
        // Methods
        public virtual void OnException(ExceptionContext filterContext)
        {
            if (filterContext == null)
            {
                throw new ArgumentNullException("filterContext");
            }
            if (!filterContext.IsChildAction && (!filterContext.ExceptionHandled && filterContext.HttpContext.IsCustomErrorEnabled))
            {
                Exception innerException = filterContext.Exception;
                if ((new HttpException(null, innerException).GetHttpCode() == 500))
                {
                    string controllerName = (string)filterContext.RouteData.Values["controller"];
                    string actionName = (string)filterContext.RouteData.Values["action"];
                    HandleErrorInfo model = new HandleErrorInfo(filterContext.Exception, controllerName, actionName);
                    ViewResult result = new ViewResult();
                    result.ViewName = this.View;
                    result.MasterName = this.Master;
                    result.ViewData = new ViewDataDictionary<HandleErrorInfo>(model);
                    result.TempData = filterContext.Controller.TempData;
                    filterContext.Result = result;
                    filterContext.ExceptionHandled = true;
                    filterContext.HttpContext.Response.Clear();
                    filterContext.HttpContext.Response.StatusCode = 500;
                    filterContext.HttpContext.Response.TrySkipIisCustomErrors = true;
                }
            }
        }
        public string Master
        {
            get
            {
                return (this._master ?? string.Empty);
            }
            set
            {
                this._master = value;
            }
        }
        public override object TypeId
        {
            get
            {
                return this._typeId;
            }
        }
        public string View
        {
            get
            {
                if (string.IsNullOrEmpty(this._view))
                {
                    return "Error";
                }
                return this._view;
            }
            set
            {
                this._view = value;
            }
        }
    }
Usage (untested cause I used it in context of controller that already implement all required interfaces)
[HandleErrorAttribute]
public class Foo : IExceptionFilter // (I am not sure about this one IActionFilter)
{
    public void MethodA() 
    {
        // body
    }
    public void MethodB() 
    {
        // body
    }
    public void MethodC()
    {
        // body
    }
}
Or you can do something like this:
public class ExecuteHelper
{
    public static void Catch(Action action)
    {
        try
        {
            action();
        }
        catch (Exception ex)
        {
            // Do what you want
        }
    }
}
And use it in a Function body:
public void Foo(string something)
{
    ExecuteHelper.Catch(() =>
    {
        // Do something with something or without something
    });
}
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