Generate an exception with a Context
There is no direct way to output the the CONTEXT line with a user-defined exception. This option is not implemented (yet) in PostgreSQL 9.1.
However, I found a ...
Workaround
... that should perform flawlessly. Call another function that raises the error (warning, notice, ..) for you. Optionally with custom message and CONTEXT. Works with PostgreSQL 9.0 or later:
CREATE OR REPLACE FUNCTION f_raise(_lvl text = 'EXCEPTION'
                                 , _msg text = 'Default error msg.')
  RETURNS void
  LANGUAGE plpgsql AS
$func$
BEGIN
   CASE upper(_lvl)
      WHEN 'EXCEPTION' THEN RAISE EXCEPTION '%', _msg;
      WHEN 'WARNING'   THEN RAISE WARNING   '%', _msg;
      WHEN 'NOTICE'    THEN RAISE NOTICE    '%', _msg;
      WHEN 'DEBUG'     THEN RAISE DEBUG     '%', _msg;
      WHEN 'LOG'       THEN RAISE LOG       '%', _msg;
      WHEN 'INFO'      THEN RAISE INFO      '%', _msg;
      ELSE RAISE EXCEPTION 'f_raise(): unexpected raise-level: &quot;%&quot;', _lvl;
   END CASE;
END
$func$;

COMMENT ON FUNCTION f_raise(text, text) IS 'Raise error or given level with msg and context.
Call from inside another function instead of raising an error directly
  to get plpgsql to add CONTEXT (with line number) to error message.
$1 .. error level: EXCEPTION | WARNING | NOTICE | DEBUG | LOG | INFO
$2 .. error message';

Use the function to raise an error like this:
CREATE OR REPLACE FUNCTION test_err(text)
  RETURNS void
  LANGUAGE plpgsql AS
$func$
BEGIN
   -- do stuff    

   IF TRUE THEN  -- some condition here?
      -- instead of raising error like this:
      -- RAISE EXCEPTION 'unexpected parameter: &quot;%&quot;', $1;
      PERFORM f_raise('EXCEPTION', 'My message &quot;' || $1 || '&quot;');
   END IF;
END
$func$;

Call:
SELECT test_err('wrong parameter');

The function comes with default values, that kick in when missing in the call. In combination with named parameters, you can do pretty much anything. Examples:
SELECT f_raise();
SELECT f_raise('WARNING');
SELECT f_raise(_msg := 'boohoo');
SELECT f_raise(_lvl := 'WARNING');