Find end of $.each() loop

You can do this with jQuery.map extremely elegantly as the function allows you to do a filtered map (.map excludes any item when you return null or undefined). As $.map produces an array you can then just use Array.prototype.join and get the same output as our original code. If you want to add a period to the string after that then you can check if your string isn't empty, append a period and be on your way.

var text = $.map(obj, function(val, key) { if(val) return key; } ).join(", "); //Create an array of an objects keys where its value is truthy. Next, join the keys.
if(text !== "") text += "."; // Append a period if not an empty string

$(self).append(text);

Also you should reconsider using a try catch block around the JSON parsing as you shouldn't expect that to fail without good reason.

You are basically mimicking the behavior of join here. Simply collecting the correct values into an array and then joining these values will be simpler.

This is what I would counter-propose:

try{
  var o = jQuery.parseJSON( s ),
      keys = [];
  jQuery.each(o, function(key, value){
    if(value){
      keys.push(key);
    }
  }
  $(self).text( " " + keys.join(",") + "." );
}
catch(e){
}