Well, given the contet you provided, or the lack thereof, I can only provide some general ideas here: First of all, the obvious answer would be to take a look at the information contained in the exception itself, which should give you an idea of where in your code allocation failed.
Second, you employ memory profiling to get a better idea of what is going on in your application - I'm a user of dotTrace, but there might be free alternatives available.
Apart from this general adivce, you might want to include some more information in your question. What type of objects are you allocating, when are you allocating, are you using native resources etc.
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