Sometimes setjmp is useful and I had occasionally used it, but usually it is not needed. There is certain considerations you must make in order to be careful when you are using setjmp though.
(Free Hero Mesh uses setjmp in the execute_turn function. This function will call several other functions some of which are recursive, and sometimes an error occurs or WinLevel or LoseLevel occurs (even though these aren't errors), in which case it will have to return immediately. I did try to ensure that this use will not result in memory leaks or other problems; e.g. v_set_popup allocates a string and will not call longjmp while the string is allocated, until it has been assigned to a global variable (in which case the cleanup functions will handle this). Furthermore, the error messages are always static, so it is not necessary to handle the memory management of that either.)
No, even setjmp/longjmp are not as powerful or dangerous. The issue is not the locality of the jump, but the lack of any meaningful code structure enforced by the language. Using setjmp and longjmp properly still saves and restores context. You still have a function call stack, a convention for saving and restoring registers, locally scoped variables, etc. Though, using setjmp/longjmp improperly on some platforms might come close, since you're well into undefined behavior territory.
Parent is correct that this doesn't really exist outside of assembly language anymore. There is no modern analogue, because Dijkstra's critique was so successful.
(Free Hero Mesh uses setjmp in the execute_turn function. This function will call several other functions some of which are recursive, and sometimes an error occurs or WinLevel or LoseLevel occurs (even though these aren't errors), in which case it will have to return immediately. I did try to ensure that this use will not result in memory leaks or other problems; e.g. v_set_popup allocates a string and will not call longjmp while the string is allocated, until it has been assigned to a global variable (in which case the cleanup functions will handle this). Furthermore, the error messages are always static, so it is not necessary to handle the memory management of that either.)