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

Your algorithm is linear, there is no loops in there. So, the only place you need a loop is when you try to get correct response from the user. So, I'd propose you to move that into a function and then your example turns into this:

def get_user_input(prompt):
    while True:
        reply = input(prompt).replace(" ", "").lower()
        if reply in ['yes', 'no']:
            return reply
        print("Please enter YES or NO")

problem_exists = get_user_input("Do you have a problem in life? ")
if problem_exists == 'yes':
    action_possible = get_user_input("Do you have something to do about it? ")
print("Then why worry?")