Most of the basic workflow actions do not have Error Handling options < for example the Send Notification action has no error handling.
There is no golden rule as to which actions do or dont have error handling, but generally the more advanced the action the more likely it is to have error handling. An example of an action that does have error handling is the Execute SQL action.
Add the Execute SQL action to a workflow, double click the action to open the configuration window and take a look at the very last setting at the bottom of the window, here you can configure the error handling options.
If you have the Enterprise edition of Nintex Workflow about 40 of the 120ish actions do include error handling.