You can't have a single cleanup (because subsequent calls use memory/handles from prior - otherwise you'd have a function wrapper), so it ends up getting really nasty - at which point, the logic feels clearer (and easier to match alloc and free) if you have indented blocks. The change I'd make to the code would be to have a shorter indent block.

  HRESULT hr;

  hr = DoFoo();

  if (!SUCCESS(hr))
  {
    goto exit;
  }

  hr = DoBar();

  if (!(SUCCESS(hr))
  {
    goto cleanup_foo;     
  }

  hr = DoBar();

  if (!(SUCCESS(hr))
  {
    goto cleanup_bar;     
  }

  hr = DoBaz();

  if (SUCCESS(hr))
  {
    CleanupBaz();
  }

  cleanup_bar:
    CleaupBar();

  cleanup_foo:
    CleanupFoo();

  exit:

  return hr;