Elegantly handle task cancellation

So, what’s the problem? Just throw away catch (OperationCanceledException) block, and set proper continuations:

var cts = new CancellationTokenSource();
var task = Task.Factory.StartNew(() =>
    {
        var i = 0;
        try
        {
            while (true)
            {
                Thread.Sleep(1000);

                cts.Token.ThrowIfCancellationRequested();

                i++;

                if (i > 5)
                    throw new InvalidOperationException();
            }
        }
        catch
        {
            Console.WriteLine("i = {0}", i);
            throw;
        }
    }, cts.Token);

task.ContinueWith(t => 
        Console.WriteLine("{0} with {1}: {2}", 
            t.Status, 
            t.Exception.InnerExceptions[0].GetType(), 
            t.Exception.InnerExceptions[0].Message
        ), 
        TaskContinuationOptions.OnlyOnFaulted);

task.ContinueWith(t => 
        Console.WriteLine(t.Status), 
        TaskContinuationOptions.OnlyOnCanceled);

Console.ReadLine();

cts.Cancel();

Console.ReadLine();

TPL distinguishes cancellation and fault. Hence, cancellation (i.e. throwing OperationCancelledException within task body) is not a fault.

The main point: do not handle exceptions within task body without re-throwing them.