You'll probably dislike this too:

  $ {
  >     echo foo \
  >     && echo bar \
  >     || echo baz ;
  > }
  foo
  bar
  <^P><^A>$<^F>IFS
  ${IFS#   echo foo   && echo bar   || echo baz ; }
  $ _

There's good and bad to both approaches. I like how I can use () and {} to bracket things and otherwise every line that end in \ is continued. I line-up on the left with the operator, you with indentation. When you use a # style comment, you have to look up and back and forward to see what the operator is you are continuing over to the next line:

  $ foo |
    bar | # ?Do? *the* $bar$ && [do] {it!}
    baz

Which only takes an extra neuron or so, but then history...

  <^P>
  $ foo |   bar | # ?Do? *the* $bar$ && [do] {it!}
  baz