checking.rb

class Checking
  def run
    Rails.logger.info "Checking #{snitch.id} (#{snitch.name})..."
    unless checkable?
      Rails.logger.error "Snitch #{snitch.id} is not checkable"
      return false
    end
    ... more stuff
  end
end

# how do I exit early from Checking#run from another method?
class Checking
  def run
    Rails.logger.info "Checking #{snitch.id} (#{snitch.name})..."
    handle_non_checkable
    ... more stuff
  end

  private
  def handle_non_checkable
    unless checkable?
      Rails.logger.error "Snitch #{snitch.id} is not checkable"
      return false
    end
  end
end

Make handle_non_checkable return true in the case that checkable? returns true, and make run return false unless handle_non_checkable.
Not exactly what you wanted, but close maybe? https://gist.github.com/3925821