What you're asking for is to stop executing your code while it is in mid test. You can't stop executing a current test without having hooks in your code to allow it. Your best solution is to use Categories as others have suggested.
Basically, JUnit executes all of the @Before methods (including @Rules), then your @Test method, then the @After methods (again, including @Rules). Even assuming that JUnit had a mechanism for stopping execution of it's bits of the code (which it doesn't), most of the time is spent in your code. So to 'skip' a test which has already started requires you to modify your test code (and potentially the code that it's testing) in order that you can cleanly stop it. Cleanly stopping an executing thread is a question in itself [*].
So what are your options?
Run the tests in parallel, then you don't have to wait as long for the tests to finish. This may work, but parallelizing the tests may well be a lot of work.
Stop execution of the tests, and fix the one that's you're working on. Most IDEs have an option to kill the JVM in which the tests are running. This is definitely the easiest option.
Implement your own test runner, which runs the test in a separate thread. This test runner then either waits for the thread to finish executing, or checks a flag somewhere which would be a signal for it to stop. This sounds complicated, because you need t manage your threads but also to set the flag in a running jvm. Maybe creating a file somewhere? This runner would then fail the currently running test, and you could move on to the next. Please note that 'stopping' a test midway may leave stuff in an inconsistent state, or you may end up executing stuff in parallel.
There are parallel JUnit runners out there, and I don't think you're going to get much help from IDE developers (at least in the short term). Also, look at TestNG, which allows stuff to be run in parallel.
For using categories, one solution I use is to run the long running tests separately using maven surefire or similar, not through the IDE. This involves checking out the source code somewhere else on my machine and building there.
[*]: Java, how to stop threads, Regarding stopping of a thread