Sql-server – How to capture queries that fail on the SQL Server due to connection failures

Definitely have a look at the NT and SQL logs... and if you were running on SQL Server 2008 or later, check the ring buffers DMV for a few extra clues. Do you have any monitoring tools that you can increase the sample rate with, to add evidence the problem is maybe with the Citrix Xenapp delivery?

Ring Buffers: http://blogs.msdn.com/b/sql_protocols/archive/2008/05/20/connectivity-troubleshooting-in-sql-server-2008-with-the-connectivity-ring-buffer.aspx

Kendra Little did a good introduction video on troubleshooting query timeouts, not quite the same as connection timeouts. http://www.brentozar.com/archive/2011/07/mystery-of-query-timeouts-video/

You could create a Stored Proc for steps 1-4, with error handling that notifies you via email on failure.

Something like:

CREATE PROCEDURE TestEmailOnFail
AS
BEGIN
    BEGIN TRY
        /*
            Perform some action that might fail
        */
        SELECT 0/0; --THIS WILL FAIL
    END TRY
    BEGIN CATCH
        DECLARE @subject nvarchar(max) = 'Job Failure Notification';
        DECLARE @body nvarchar(max) = 'TestEmailOnFail Job Failed' 
            + CHAR(10) + CHAR(13) + 'Error Number:  ' + CAST(ERROR_NUMBER() AS nvarchar(max))
            + CHAR(10) + CHAR(13) + 'Error Message: ' + ERROR_MESSAGE();
        DECLARE @to nvarchar(max) = 'somebody@email.com';
        DECLARE @profile_name sysname = 'SQLMailProfileName';
        EXEC msdb.dbo.sp_send_dbmail @profile_name = @profile_name,
            @recipients = @to, @subject = @subject, @body = @body;
    END CATCH
END

I just tested this using my SQL Mail Profile, and my email address and got the following email:

TestEmailOnFail Job Failed
Error Number:  8134
Error Message: Divide by zero error encountered.