You should handle it in the most immediate context which can do something productive with it- if there's nothing you can do but swallow it, you should probably let it continue to pass up the stack. If you can handle it and log a warning and return something else, you should handle it there.

For example, if you're writing an HTTP handler for an API, you should catch any exceptions at that point in your handler and return a 500 with an appropriate response to the client, since returning 500 is something productive we can do (vs letting it pass and crashing the server).