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Numerical exceptions, which may be caused by overflow, operations like division by 0 or sqrt(-1), or convergence failures, are unavoidable in many cases, in particular when software is used on unforeseen and difficult inputs. As more aspects of society become automated, e.g., self-driving cars, health monitors, and cyber-physical systems more generally, it is becoming increasingly important to design software that is resilient to exceptions, and that responds to them in a consistent way. Consistency is needed to allow users to build higher-level software that is also resilient and consistent (and so on recursively). In this paper we explore the design space of consistent exception handling for the widely used BLAS and LAPACK linear algebra libraries, pointing out a variety of instances of inconsistent exception handling in the current versions, and propose a new design that balances consistency, complexity, ease of use, and performance. Some compromises are needed, because there are preexisting inconsistencies that are outside our control, including in or between existing vendor BLAS implementations, different programming languages, and even compilers for the same programming language. And user requests from our surveys are quite diverse. We also propose our design as a possible model for other numerical software, and welcome comments on our design choices.