The Windows kernel maintains two types of threads – Non-GUI threads, and GUI threads. Non-GUI threads threads use the default stack size of 12KB (on i386, which this this discussion applies to) and the default System Service Descriptor table (SSDT), KeServiceDescriptorTable. GUI threads, in contrast, are expected to have much larger stack requirements and thus use an extended stack size of 60 KB (Note: these are the numbers for Svr03 and may vary among releases).
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Most code that uses Structured Exception Handling does this with the help of the compiler, e.g. by using try/except/__finally. Still, it is possible to do everything by hand, i.e. to provide your own exception handlers and set up the exception registration records manually. However, as this entire topic is not documented very well, doing so opens room for all kind of surprises…
Although more than 10 years old, the best article on this topic still seems to be Matt Pirtrek’s A Crash Course on the Depths of Win32™ Structured Exception Handling, which I assume you have read.
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How GUI Thread Conversion on Svr03 Breaks the SEH Chain