Interesting. How is that one different from using the task manager to kill it?
1: There's not the awkwardness of having to press control-alt-delete, wait for everything to come up, find the process, select end process, etc.
2: It works even if it's a major crash or freeze that doesn't allow you to bring up the task manager. (Or even if it does let you bring up the task manager, you have no way of navigating it because the game screen remains covering up stuff happening in the background.)
Also if you changed any settings you'll want to use the console command:
saveinibefore exiting