For comparison:
Do something
GO
Do something else
Go
To:
Do something
Do something else
If in the first example an error occurred during "Do something", then "Do something else" will be executed. In the second example, this is not so. And, as Stuart pointed out, there are some actions that require this to be the first statement of the party, which means that you need to place GO in front of them if they are not the first line of your file.
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