Exceptions don't just add an overhead when they're thrown, they add overhead for every function call. How else would the exception-handling runtime know to unwind the stack to the correct addresses? It is this performance degradation that we avoid. Why? For the PC, it doesn't really matter. The XBox360 doesn't handle the performance hit very well. The compilers for the Nintendo DS (edit: and the Wii) don't even support exceptions, and the PSP is so crazily architectured that things like floating point numbers or exceptions can cause a framerate to drop from 300 to 12. I've not worked on the PS3. You must understand that these consoles and handhelds are designed very differently from PCs, and are never as powerful.
We do check for errors, we just stay away from exceptions. And dynamic casting, when we can (the DS does a freaking string compare against the vtable!).