ADO.NET :: Handle Errors In Data Access Layer Code?

I am learning on how to create data access layer code for a web site. I want to ensure I am actually connecting to the datasource, so, I am wanting to use a try/catch block within my data access layer class methods. What I am not sure how to handle is a case where the connectionstate is not open. The method should ideally return a datatable. If an error is thrown would I just return an empty datatable? That is my first thought. My other thought is to return an object and pass a datatable if the connection succeeds or the exception if the connection fails.