Elmah just binds to UnhandledException for you (with a lot more infrastructure; ui, logging, message send-offs, configuration), but that's nothing you couldn't do yourself if you wanted to invest the time re-inventing the wheel.
though I was under the impression that Elmah was better suited for a web-based application, so to see it used in a console application makes me wonder if the added functionality (web-based log viewing) is really an added benefit at that point or isn't just overkill.