It is possible simply to warn() and exit() - this will avoid additional messages for perl-5.6.0 and later:

zen% /opt/perl5.005_03/bin/perl -wle 'BEGIN { warn "foo\n"; exit 1; }'
foo
Callback called exit at -e line 1.
BEGIN failed--compilation aborted at -e line 1.
zen% /opt/perl-5.6.0/bin/perl -wle 'BEGIN { warn "foo\n"; exit 1; }'
foo
zen% 

Hugo