Your suggestion and an example appears to have been taken directly from the itertools recipes:

def iter_except(func, exception, first=None):
    """ Call a function repeatedly until an exception is raised.

    Converts a call-until-exception interface to an iterator interface.
    Like __builtin__.iter(func, sentinel) but uses an exception instead
    of a sentinel to end the loop.

    Examples:
        bsddbiter = iter_except(db.next, bsddb.error, db.first)
        heapiter = iter_except(functools.partial(heappop, h), IndexError)
        dictiter = iter_except(d.popitem, KeyError)
        dequeiter = iter_except(d.popleft, IndexError)
        queueiter = iter_except(q.get_nowait, Queue.Empty)
        setiter = iter_except(s.pop, KeyError)

    """
    try:
        if first is not None:
            yield first()
        while 1:
            yield func()
    except exception:
        pass

FWIW, this idea was explored before an aside from the examples given in the docstring above, it seems to have very limited application.  Accordingly, it was left as a recipe and not added to itertools or the the iter() function.