That has the problem of separating the statement that is supposed to throw and then thrown exception. E.g. a slightly more complicated test case:

    @Test(expectedExceptions = FooException.class)
    public void test() {
      firstDoThis();
      thenThat();
      thenSomeMore();
      thisShouldThrow();
    }

Now you're only asserting that any of these statements throw, anywhere in the code under test. That's significantly weaker and I've seen it mask real problems in code.

I think using plain try something/fail/catch is clearer, or using Closures and an assertThrows if your language supports it.