You might notice that you can get the same effect you want without the overhead of using goto by doing a slightly unorthodox loop instead.

sub my_sort {
SUB_BODY:
  {
    my $i = $_[0] || 0;

    if ( defined $a->[$i] && defined $b->[$i] ) {
        if ( my $result = $a->[$i] <=> $b->[$i] ) {
            return $result;
        }        
        ++$_[0];
        redo SUB_BODY;
    }
    return defined $a->[$i] ? 1 : -1;
  }
}
[download]

Update: Except this doesn't work (at least, it doesn't sort in any way that I consider sensible). Not sure what I did wrong. And oddly enough, when I translated it into what I thought was an equivalent for-loop, I got a different arrangement. I think it's what you want.

sub my_sort {
  my $i;
  for ($i = 0; defined $a->[$i] && defined $b->[$i]; ++$i) {
    if ( my $result = $a->[$i] <=> $b->[$i] ) {
        return $result;
    }        
  }
  return defined $a->[$i] ? 1 : -1;
}
[download]

So I guess I'm just having a high-Bozo-quotient day. But maybe you can make use of the idea.