I feel it's mostly down to common sense, and a little down to personal preference.
As others have mentioned, if it's a public API then you want to provide clear error messages wherever possible, so it's best to check parameters before they are used and throw exceptions with messages as per your example.
If it's internal code then there are two other options to think about: use assertions, or don't bother with the validation and rely on debugging. As a rule of thumb, I'll put assertions in if it's code that I expect other developers will be calling or if the condition is subtle enough that debugging it might be a pain. Otherwise, I'll just allow it to fail.
Sometimes you can avoid the issue by using the Null Object pattern. If it's a public API I'd still be inclined to include the checks though.