When debugging using tests or doing test driven development, I find it very useful to have the test run exit immediately on the first failure.  Doctest currently has a feature to suppress all output after the first failure, but not to exit on the first failure.  Exiting on the first failure in doctest is even more important than in unit test for me, since a typical way to debug using doctest is to add prints to sys.stderr to the code.  If the doctest run continues, other tests that follow the same code path may also dump debugging output, making it harder to find the output related specifically to the test failure.

The attached patch does the easy part: adds a FAIL_FAST flag.  I don't have time right at the moment to finish the patch with docs and tests.  If someone wants to work on this before I get back to it they should feel free (just post a note here that you are working on it).