Can I cancel a TeamCity build from my msbuild script?

You can use the undocumented http request which has changed since it was originally posted. You now need "operationKind=1". I used a powershell runner like so:

$buildId = %teamcity.build.id%
$uri = "http://teamcity/ajax.html?guest=1&comment=Cancelling+build+for+some+reason&submit=Stop&buildId=$buildId&kill&operationKind=1"
$response = Invoke-WebRequest -UseBasicParsing -Uri $uri

Another SO post can tell you how to make an http request from MSBuild

The "guest=1" means I'm using the guest account, which at minimum needs the "Stop build / remove from queue" for the project you're going to cancel.

According to JetBrains issue tracker and release page, since TeamCity 2019.1 EAP 1 builds can be stopped with service message as in:

##teamcity[buildStop comment='canceling comment' readdToQueue='true']

Can you not just use the Error task, this should cause the execution of the build to stop.

Since Teamcity 8.1 (Source) it is possible to Cancel the Build via REST API.

Taken from the 9.x Documentation, cancelling a currently running build

curl -v -u user:password --request POST "http://teamcity:8111/app/rest/builds/<buildLocator>" --data "<buildCancelRequest comment='' readdIntoQueue='false' />" --header "Content-Type: application/xml"