Peeking the next element in STL container

Not with iterators in general. An iterator isn't guaranteed to be able to operate non-destructively. The classic example is an Input Iterator that actually represents an underlying input stream.

There's something that works for this kind of iterator, though. A Forward Iterator doesn't invalidate previous copies of itself by the act of moving forward through the collection. Most iterators (including those for STL collections) are at least Forward Iterators, if not a more functional version- only Input Iterators or Output Iterators are more restricted. So you can simply make a copy of your iterator, increment the copy and check that, then go back to your original iterator.

So your peek code:

set <int>::iterator dupe = iter;
++dupe;
// (do stuff with dupe)

set <int>::iterator iter2 = iter;
++iter2;
int peekedValue = *iter2;

C++0x adds a handy utility function, std::next, that copies an iterator, advances it, and returns the advanced iterator. You can easily write your own std::next implementation:

#include <iterator>

template <typename ForwardIt>
ForwardIt next(ForwardIt it, 
               typename std::iterator_traits<ForwardIt>::difference_type n = 1)
{
    std::advance(it, n);
    return it;
}

You can use this in your example like so:

if (iter != mySet.end() && next(iter) != mySet.end() && *next(iter) == *iter + 1)
    mySet.erase(iter);