Object Pascal equivalent to 'Fail'


I was wondering what to do in case of a problem during the construction
of a new object instance. In BP 7.0 there was the 'Fail' standard procedure.
What is the usual way (aka Borland's convention) to do this in Delphi?
Should I raise an exception and let the caller destroy the unusable
instance? Should I destroy the instance and then raise an exception?