Switch to the KM Editor and select "Go to Last Aborted Action" from the "View" menu -- that'll jump you to the last action that failed.
There's been a bunch of other methods posted on the Forum -- this thread came up first in a search, but I know there have been others.
I'm going to say "Please, no!" to this. Using GOTOs usually results in a program (or macro) that is harder to understand, debug, and maintain -- so-called "spaghetti code".
It wouldn't be so bad in a macro of even 100+ actions, but you're still better off reorganising your macro's control flow so you don't need to jump around arbitrarily.