Difference between break and continue statement

break leaves a loop, continue jumps to the next iteration.

See Branching Statements for more details and code samples:

break

The break statement has two forms: labeled and unlabeled. You saw the unlabeled form in the previous discussion of the switch statement. You can also use an unlabeled break to terminate a for, while, or do-while loop [...]

An unlabeled break statement terminates the innermost switch, for, while, or do-while statement, but a labeled break terminates an outer statement.

continue

The continue statement skips the current iteration of a for, while , or do-while loop. The unlabeled form skips to the end of the innermost loop's body and evaluates the boolean expression that controls the loop. [...]

A labeled continue statement skips the current iteration of an outer loop marked with the given label.

System.out.println ("starting loop:");
for (int n = 0; n < 7; ++n)
{
    System.out.println ("in loop: " + n);
    if (n == 2) {
        continue;
    }
    System.out.println ("   survived first guard");
    if (n == 4) {
        break;
    }
    System.out.println ("   survived second guard");
    // continue at head of loop
}
// break out of loop
System.out.println ("end of loop or exit via break");

This will lead to following output:

starting loop:
in loop: 0
    survived first guard
    survived second guard
in loop: 1
    survived first guard
    survived second guard
in loop: 2
in loop: 3
    survived first guard
    survived second guard
in loop: 4
    survived first guard
end of loop or exit via break

You can label a block, not only a for-loop, and then break/continue from a nested block to an outer one. In few cases this might be useful, but in general you'll try to avoid such code, except the logic of the program is much better to understand than in the following example:

first:
for (int i = 0; i < 4; ++i) 
{
    second:
    for (int j = 0; j < 4; ++j) 
    {
        third:
        for (int k = 0; k < 4; ++k) 
        {
            System.out.println ("inner start: i+j+k " + (i + j + k));
            if (i + j + k == 5)
                continue third;
            if (i + j + k == 7)
                continue second;
            if (i + j + k == 8)
                break second;
            if (i + j + k == 9)
                break first;
            System.out.println ("inner stop:  i+j+k " + (i + j + k));
        }
    }       
}

Because it's possible, it doesn't mean you should use it.

If you want to obfuscate your code in a funny way, you don't choose a meanigful name, but http: and follow it with a comment, which looks alien, like a webadress in the source-code:

http://stackoverflow.com/questions/462373
for (int i = 0; i < 4; ++i) 
{
     if (i == 2) 
         break http;

I guess this is from a Joshua Bloch quizzle. :)