Intel has e.g. push all/pop all instructions. It doesn't save everything needed for setjmp/longjmp (like fpu state) but does a decent job.
The DEC VAX-11 instruction set had SVPCTX and LDPCTX for the kernel which made context switch simple. It had queue instructions which made rescheduling simple. This was basically:
SETIPL
SVPCTX
INSQUE
FFS
REMQUE
LDPCTX
SETIPL
Yeah, there was a little more. See page 188 of ...
http://bitsavers.informatik.uni-stuttgart.de/pdf/dec/vax/vms...
This way both setjmp and longjmp are basically few cycles and exception handling would be hella fast.