The usual implementation of the Either/Option monads already does this though:

    instance Monad Maybe where  
        return x = Just x  
        Nothing >>= f = Nothing  
        Just x >>= f  = f x  
        fail _ = Nothing  

and

  instance (Error e) => Monad (Either e) where  
      return x = Right x   
      Right x >>= f = f x  
      Left err >>= f = Left err  
      fail msg = Left (strMsg msg) 

The end result is still a value of that type. You get the short-circuting behavior as soon as you hit Nothing/Left.