Update:
You can actually "break" by throwing an error inside and catching it outside: something like this:
try{
_([1,2,3]).each(function(v){
if (v==2) throw new Error('break');
});
}catch(e){
if(e.message === 'break'){
//break successful
}
}
This obviously has some implications regarding any other exceptions that your code trigger in the loop, so use with caution!