Throw an exception IFF the class cannot be put into a consistent state with regard to its semantic use.  Otherwise do not.  NEVER allow an object to exist in an inconsistent state.  This includes not providing complete constructors (like having an empty constructor + initialize() before your object is actually completely built)...JUST SAY NO!

In a pinch, everyone does it.  I did it the other day for a very narrowly used object within a tight scope.  Some day down the road, I or someone else will probably pay the price for that slip in practice.