To avoid all standard-answers I could have Googled on, I will provide an example you all can attack at will.
C# and Java (and too many others) have with plenty of ty
You might be interested in having a look at Common Lisp's condition system which is a sort of generalization of exceptions done right. Because you can unwind the stack or not in a controlled way, you get "restarts" as well, which are extremely handy.
This doesn't have anything much to do with best practices in other languages, but it shows you what can be done with some design thought in (roughly) the direction you are thinking of.
Of course there are still performance considerations if you're bouncing up and down the stack like a yo-yo, but it's a much more general idea than "oh crap, lets bail" kind of approach that most catch/throw exception systems embody.