I'm afraid there isn't an equivalent of Application_Error; ASP has the advantage that (at least from the server point of view) there is a single point of entry - everything stems from the http request from the client.
With a target designer, calls to the target designer code could orginate from a number of different sources (e.g. the toolbox, mouse movements, command menu clicks, design surface clicks, the model explorer, the property grid etc...), so there isn't a global event handler.
Duncan