Although this is pretty basic Java functionality I often have to look this up, because I confound these calls, esp. break and continue. So this is my cheat sheet:
Break
for (..) {
..
// leave loop immediately
break;
..
}
Continue
for (..) {
..
// continue loop with next iteration
continue;
..
}
Return
for (..) {
..
// leave calling method
return;
..
}
electrobabe.at 
Considering that break/continue are in fact GOTO statements, I like the fact that you do not use them that often thus do not remember them ;-) Esp. break/continue with a label name always make me suspicious and I look for ways to change the method/design.