Using continue in a switch statement

Yes, it's OK - it's just like using it in an if statement. Of course, you can't use a break to break out of a loop from inside a switch.

It's syntactically correct and stylistically okay.

Good style requires every case: statement should end with one of the following:

 break;
 continue;
 return (x);
 exit (x);
 throw (x);
 //fallthrough

Additionally, following case (x): immediately with

 case (y):
 default:

is permissible - bundling several cases that have exactly the same effect.

Anything else is suspected to be a mistake, just like if(a=4){...} Of course you need enclosing loop (while, for, do...while) for continue to work. It won't loop back to case() alone. But a construct like:

while(record = getNewRecord())
{
    switch(record.type)
    {
        case RECORD_TYPE_...;
            ...
        break;
        default: //unknown type
            continue; //skip processing this record altogether.
    }
    //...more processing...
}

...is okay.

Yes, continue will be ignored by the switch statement and will go to the condition of the loop to be tested. I'd like to share this extract from The C Programming Language reference by Ritchie:

The continue statement is related to break, but less often used; it causes the next iteration of the enclosing for, while, or do loop to begin. In the while and do, this means that the test part is executed immediately; in the for, control passes to the increment step.

The continue statement applies only to loops, not to a switch statement. A continue inside a switch inside a loop causes the next loop iteration.

I'm not sure about that for C++.

It's fine, the continue statement relates to the enclosing loop, and your code should be equivalent to (avoiding such jump statements):

while (something = get_something()) {
    if (something == A || something == B)
        do_something();
}

But if you expect break to exit the loop, as your comment suggest (it always tries again with another something, until it evaluates to false), you'll need a different structure.

For example:

do {
    something = get_something();
} while (!(something == A || something == B));
do_something();