For better or worse, Mathematica provides a wealth of constructs that allow you to do non-local transfers of control, including Return, Catch/Throw, Abort and Goto. However,
Pillsy's later version of CleanUp is a good one. At the risk of being pedantic, I must point out a troublesome use case:
Catch[CleanUp[Throw[23], Print["cleanup"]]]
The problem is due to the fact that one cannot explicitly specify a tag pattern for Catch that will match an untagged Throw.
The following version of CleanUp addresses that problem:
SetAttributes[CleanUp, HoldAll]
CleanUp[expr_, cleanup_] :=
Module[{exprFn, result, abort = False, rethrow = True, seq},
exprFn[] := expr;
result = CheckAbort[
Catch[
Catch[result = exprFn[]; rethrow = False; result],
_,
seq[##]&
],
abort = True
];
cleanup;
If[abort, Abort[]];
If[rethrow, Throw[result /. seq -> Sequence]];
result
]
Alas, this code is even less likely to be competitive in a beauty contest. Furthermore, it wouldn't surprise me if someone jumped in with yet another non-local control flow that that this code will not handle. Even in the unlikely event that it handles all possible cases now, problematic cases could be introduced in Mathematica X (where X > 7.01).
I fear that there cannot be a definitive answer to this problem until Wolfram introduces a new control structure expressly for this purpose. UnwindProtect would be a fine name for such a facility.