I am not sure what you are trying to do. You can implement a do-while loop like this:

while True:
  stuff()
  if fail_condition:
    break

Or:

stuff()
while not fail_condition:
  stuff()

What are you doing trying to use a do while loop to print the stuff in the list? Why not just use:

for i in l:
  print i
print "done"

Update:

So do you have a list of lines? And you want to keep iterating through it? How about:

for s in l: 
  while True: 
    stuff() 
    # use a "break" instead of s = i.next()

Does that seem like something close to what you would want? With your code example, it would be:

for s in some_list:
  while True:
    if state is STATE_CODE:
      if "//" in s:
        tokens.add( TOKEN_COMMENT, s.split( "//" )[1] )
        state = STATE_COMMENT
      else :
        tokens.add( TOKEN_CODE, s )
    if state is STATE_COMMENT:
      if "//" in s:
        tokens.append( TOKEN_COMMENT, s.split( "//" )[1] )
        break # get next s
      else:
        state = STATE_CODE
        # re-evaluate same line
        # continues automatically

For: print out only even numbers between 1 and 100. Now do it without using an if statement.

While: Ask the user for a secret password. Keep going until they get it right. Now do the same without using an if statement.

These are probably the most basic ideas. Once you have them down, you can build on your knowledge.