When should I use Debug.Assert()?

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I’ve been a professional software engineer for about a year now, having graduated with a CS degree. I’ve known about assertions for a while in C++ and C, but had no idea they existed in C# and .NET at all until recently.

Our production code contains no asserts whatsoever and my question is this…

Should I begin using Asserts in our production code? And if so, When is its use most appropriate? Would it make more sense to do

Debug.Assert(val != null);

or

if ( val == null )
    throw new exception();

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