The Exceptions page in the Cake 2.0 book is worth a read.
Here's my short test:
// in bootstrap.php
require(APP . 'Lib' . DS . 'MyExceptions.php');
// in /Lib/MyExceptions.php
class ServiceUnavailableException extends CakeException {
protected $_messageTemplate = 'Test';
}
// in controller
throw new ServiceUnavailableException('Service unavailable', 503);