How to properly exit a C# application?

From MSDN:

Application.Exit

Informs all message pumps that they must terminate, and then closes all application windows after the messages have been processed. This is the code to use if you are have called Application.Run (WinForms applications), this method stops all running message loops on all threads and closes all windows of the application.

Environment.Exit

Terminates this process and gives the underlying operating system the specified exit code. This is the code to call when you are using console application.

This article, Application.Exit vs. Environment.Exit, points towards a good tip:

You can determine if System.Windows.Forms.Application.Run has been called by checking the System.Windows.Forms.Application.MessageLoop property. If true, then Run has been called and you can assume that a WinForms application is executing as follows.

if (System.Windows.Forms.Application.MessageLoop) 
{
    // WinForms app
    System.Windows.Forms.Application.Exit();
}
else
{
    // Console app
    System.Environment.Exit(1);
}

Reference: Why would Application.Exit fail to work?

I know this is not the problem you had, however another reason this could happen is you have a non background thread open in your application.

using System;
using System.Threading;
using System.Windows.Forms;

namespace Sandbox_Form
{
    static class Program
    {
        private static Thread thread;

        [STAThread]
        static void Main()
        {
            Application.EnableVisualStyles();
            Application.SetCompatibleTextRenderingDefault(false);

            thread = new Thread(BusyWorkThread);
            thread.IsBackground = false;
            thread.Start();

            Application.Run(new Form());

        }

        public static void BusyWorkThread()
        {
            while (true)
            {
                Thread.Sleep(1000);
            }
        }
    }
}

When IsBackground is false it will keep your program open till the thread completes, if you set IsBackground to true the thread will not keep the program open. Things like BackgroundWoker, ThreadPool, and Task all internally use a thread with IsBackground set to true.

All you need is System.Environment.Exit(1);

And it uses the system namespace "using System" that's pretty much always there when you start a project.