How to emulate a do-while loop?

I am not sure what you are trying to do. You can implement a do-while loop like this:

while True:
  stuff()
  if fail_condition:
    break

Or:

stuff()
while not fail_condition:
  stuff()

What are you doing trying to use a do while loop to print the stuff in the list? Why not just use:

for i in l:
  print i
print "done"

Update:

So do you have a list of lines? And you want to keep iterating through it? How about:

for s in l: 
  while True: 
    stuff() 
    # use a "break" instead of s = i.next()

Does that seem like something close to what you would want? With your code example, it would be:

for s in some_list:
  while True:
    if state is STATE_CODE:
      if "//" in s:
        tokens.add( TOKEN_COMMENT, s.split( "//" )[1] )
        state = STATE_COMMENT
      else :
        tokens.add( TOKEN_CODE, s )
    if state is STATE_COMMENT:
      if "//" in s:
        tokens.append( TOKEN_COMMENT, s.split( "//" )[1] )
        break # get next s
      else:
        state = STATE_CODE
        # re-evaluate same line
        # continues automatically

Here's a very simple way to emulate a do-while loop:

condition = True
while condition:
    # loop body here
    condition = test_loop_condition()
# end of loop

The key features of a do-while loop are that the loop body always executes at least once, and that the condition is evaluated at the bottom of the loop body. The control structure show here accomplishes both of these with no need for exceptions or break statements. It does introduce one extra Boolean variable.

do {
  stuff()
} while (condition())

->

while True:
  stuff()
  if not condition():
    break

You can do a function:

def do_while(stuff, condition):
  while condition(stuff()):
    pass

But 1) It's ugly. 2) Condition should be a function with one parameter, supposed to be filled by stuff (it's the only reason not to use the classic while loop.)

Exception will break the loop, so you might as well handle it outside the loop.

try:
  while True:
    if s:
      print s
    s = i.next()
except StopIteration:   
  pass

I guess that the problem with your code is that behaviour of break inside except is not defined. Generally break goes only one level up, so e.g. break inside try goes directly to finally (if it exists) an out of the try, but not out of the loop.

Related PEP: http://www.python.org/dev/peps/pep-3136
Related question: Breaking out of nested loops