The ITERATE and LEAVE keywords allow you to skip to the next iteration of the loop, or to break out of (ie, end) the loop respectively. For example:
/* Input ten answers in an array,
   but stop when empty string is entered */
DO n=1 TO 10
   PULL My_Variable.n
   IF My_Variable.n == "" THEN LEAVE
END

/* Print all integers from 1-10 except 3 */
DO n=1 TO 10
   IF n=3 THEN ITERATE
   SAY n
END

If a variable name is placed after the keywords ITERATE or LEAVE, then you can iterate or leave the loop whose control variable is that variable name. This is how, when you have nested loops, you can jump out of an inner loop and skip some of the outer loops -- simply LEAVE or ITERATE to the desired outer loop by placing that outer loop's control variable's name after the LEAVE or ITERATE.

/* Jumping out of an inner loop to an outer loop */
DO loop1=1 TO 3
   SAY "I'm in loop1. loop1=" loop1
   DO loop2=1 TO 3
      SAY "I'm in loop2. loop2=" loop2
      DO loop3=1 TO 3
         SAY "I'm in loop3. loop3=" loop3
         /* Jump out to loop1, thereby skipping loop2's remaining iterations.
            We jump back to the very first line in this example. */
         ITERATE loop1
      END
   END
END

/* Print pairs (i,j) where 1 <= i,j <= 5, except (2,j) if j>=3 */
DO i=1 TO 5
   DO j=1 TO 5
      IF i=2 & j=3 THEN ITERATE i /* or "LEAVE j" would work, or just "LEAVE" */
      SAY "("i","j")"
   END
END