How to get out of a try/except inside a while? [Python]

You just break out of for loop -- not while loop:

running = True
while running:
    for proxy in proxylist:
        try:
            h = urllib.urlopen(website, proxies = {'http': proxy}).readlines()
            print 'worked %s' % proxy
            running = False
        except:
            print 'error %s' % proxy
print 'done'

You can use a custom exception and then catch it:

exit_condition = False

try:

    <some code ...>

    if exit_conditon is True:
        raise UnboundLocalError('My exit condition was met. Leaving try block')

    <some code ...>

except UnboundLocalError, e:
    print 'Here I got out of try with message %s' % e.message
    pass

except Exception, e:
    print 'Here is my initial exception'

finally:
    print 'Here I do finally only if I want to'