Skipping errors when running scripts

I'm porting a couple of databases over from SQL Server to Oracle. This
question isn't so much about the plsql syntax it's about the way
PostgreSQL runs scripts and stops every time it occurs an error.

For instance, when I run a script in SQL Server, and it comes across a
problem e.g. It tries to drop a table that doesn't exist, it will notify
me of the error, and then continue on. With PostgreSQL (or at least
running scripts in pgAdmin III) the script runs, comes across the error
and then rolls back to before the script was run.

I know why it does that, so your system is always in a clean state upon
an error, but can you change the behaviour so that when comes across an
error it notifies me and then continues instead of stopping?

We're running 8.2 by the way.

Thanks in advance.

John