SQL Server 2000: How to exit a stored procedure?

You can use RETURN to stop execution of a stored procedure immediately. Quote taken from Books Online:

Exits unconditionally from a query or procedure. RETURN is immediate and complete and can be used at any point to exit from a procedure, batch, or statement block. Statements that follow RETURN are not executed.

Out of paranoia, I tried yor example and it does output the PRINTs and does stop execution immediately.

Unless you specify a severity of 20 or higher, raiserror will not stop execution. See the MSDN documentation.

The normal workaround is to include a return after every raiserror:

if @whoops = 1
    begin
    raiserror('Whoops!', 18, 1)
    return -1
    end