Zhong v. US Dep't of Justice, ___ F.3d ___ (2d Cir. Jan. 17, 2007) (failure to exhaust claims of error before BIA excused where respondent did not assert a failure to exhaust, and the IJ's errors may have affected his disposition of the application).
http://caselaw.lp.findlaw.com/data2/circs/2nd/024882p.pdf