<p>@tobie langel - I rewamped your code, and it seems to work fine now.<br />
@dean - I'm using this approach instead of yours. As I tested, it's roughly 50x faster (ie6)</p>
<pre class="javascript">
function log(value) {
    document.body.innerHTML += value;
};

function iterate(array) {
    if (array.length) {
        try { array.shift()(); }
        finally { iterate(array); }
    }
};

iterate([
    function() { log(0); },
    function() { log(1); throw new Error; },
    function() { log(2); },
    function() { log(3); throw new Error; }
]);
</pre>