What's the best way to break from nested loops in JavaScript?

Just like Perl,

loop1:
    for (var i in set1) {
loop2:
        for (var j in set2) {
loop3:
            for (var k in set3) {
                break loop2;  // breaks out of loop3 and loop2
            }
        }
    }

as defined in EMCA-262 section 12.12. [MDN Docs]

Unlike C, these labels can only be used for continue and break, as Javascript does not have goto.

Wrap that up in a function and then just return.

I'm a little late to the party but the following is a language-agnostic approach which doesn't use GOTO/labels or function wrapping:

for (var x = Set1.length; x > 0; x--)
{
   for (var y = Set2.length; y > 0; y--)
   {
      for (var z = Set3.length; z > 0; z--)
      {
          z = y = -1; // terminates second loop
          // z = y = x = -1; // terminate first loop
      }
   }
}

On the upside it flows naturally which should please the non-GOTO crowd. On the downside, the inner loop needs to complete the current iteration before terminating so it might not be applicable in some scenarios.