Is this goto expressive?

Replace the goto with a do-while, or simply a while loop if you don't want the "always run once" functionality you have right now.

var queue = new Queue<TraceItem>(this.batch);
while (this.connected)
{
    byte[] buffer = null;
    try
    {
        socket.Recv(out buffer);
    }
    catch
    {
        // ignore the exception we get when the socket is shut down from another thread
        // the connected flag will be set to false and we'll break the loop
    }

    do {
        if (buffer != null)
        {
            try
            {
                var item = TraceItemSerializer.FromBytes(buffer);
                if (item != null)
                {
                    queue.Enqueue(item);
                    buffer = null;
                }
            }
            catch (Exception ex)
            {
                this.ReceiverPerformanceCounter.IncrementDiagnosticExceptions();
                this.tracer.TraceException(TraceEventType.Error, 0, ex);
            }
        }
    } while(queue.Count < this.batch && socket.Recv(out buffer, ZMQ.NOBLOCK))

    // queue processing code
}

It's so amazingly easy to rid yourself of GOTO in this situation it makes me cry:

var queue = new Queue<TraceItem>(this.batch);
while (this.connected)
{
    byte[] buffer = null;
    try
    {
        socket.Recv(out buffer);
    }
    catch
    {
        // ignore the exception we get when the socket is shut down from another thread
        // the connected flag will be set to false and we'll break the loop
    }
    bool hasAnotherMessage = true
    while(hasAnotherMessage)
    {
        hasAnotherMessage = false;
        if (buffer != null)
        {
            try
            {
                var item = TraceItemSerializer.FromBytes(buffer);
                if (item != null)
                {
                    queue.Enqueue(item);

                    buffer = null;
                    if (queue.Count < this.batch && socket.Recv(out buffer, ZMQ.NOBLOCK))
                    {
                        hasAnotherMessage = true;
                    }
                }
            }
            catch (Exception ex)
            {
                this.ReceiverPerformanceCounter.IncrementDiagnosticExceptions();
                this.tracer.TraceException(TraceEventType.Error, 0, ex);
            }
        }
    }
    // queue processing code
}

Pretty much sums up my thoughts on "goto."

Goto is bad programming practice for many reasons. Chief among them is that there is almost never a reason for it. Someone posted a do..while loop, use that. Use a boolean to check if you should continue. Use a while loop. Goto's are for interpreted languages and a call back to assembler days (JMP anyone?). You're using a high level language for a reason. So that you and everyone else doesn't look at your code and get lost.

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To keep this answer somewhat current I'd like to point out that a combination of goto and bracing errors caused a major SSL bug in iOS and OS X.