You can set up a one-shot loop and break out of it like below, but I'm not convinced this is a fantastic idea:
void setup ()
{
int a = 42;
do
{
if (a == 1)
{
// blah blah
break;
}
else if (a == 2)
{
}
// and so on ...
} while (false);
} // end of setup
void loop () {}