Here are some good references:
Exploit: Stack Overflows - Exploiting default seh to increase stability - SecurityForest
Exploit: Stack Overflows - Exploiting SEH on win32 - SecurityForest
I-Hacked.com Taking Advantage Of Technology - Understanding SEH (Structured Exception Handler) Exploitation
Nabble - Vulnerability Development - overwriting SEH and debugging
You might want to try one of the guided examples in the posts above so you can get a good grip on how this works.
Perhaps if the program has some crafty debugger-killing custom exception handler...
Still not underestimating the power...
There is no such thing as bad information - There is truth in the data, so you sift it all, even the crap stuff.