Here is how I'd do it:
PRINT 'This runs'
go
SELECT 0/0, 'This causes an error'
go
if (@@error <> 0)
Begin
set nocount on
set noexec on
End
GO
PRINT 'This should not run'
go
set noexec off
set nocount off
GO
The "noexec" mode puts SSMS is a state where it just compiles the T-SQL and doesn't actually execute it. It is similar to accidentally pressing the Parse toolbar button (Ctrl+F5) instead of Execute (F5).
Don't forget to turn noexec back off at the end of your script. Otherwise users are going to get confused by permanent "Command(s) completed successfully." messages.
I use the check against @@error in the subsequent batch instead of using TRY CATCH blocks. Using @@error in the next batch will catch compile errors, like "table doesn't exist".
In addition to the noexec mode, I also toggle the nocount mode. With noexec mode on and nocount off, your queries will still report a message "(0 rows(s) affected)". The message always reports zero rows, because you're in noexec mode. However, turning nocount on suppresses these messages.
Also note that if running SQL Server 2005 the command you are skipping might still give error messages if it references a table that doesn't exist and the command if the first command in the batch. Forcing the command to be the second command in the batch with a bogus Print statement can suppress this. See MS Bug #569263 for more details.