Close form on escape

1. Handle the KeyUp event for the form and put following code in it:

private void Form1_KeyUp(object sender, KeyEventArgs e)
        {
            if (e.KeyCode == Keys.Escape)
            {
                this.Close();
            }
        }

The Solutin 1 by Prasad_Kulkarni and Solution 2 by Rahul Rajat Singh are good.

I want to add that when a key is pressed it will go to the control which has focus on the form. Let us say the cursor is in a TextBox. Now, if the Escape key is pressed it will not go to the Form's KeyUp event and instead it is captured by the TextBox and the KeyUp event of TextBox fires.

So, to enable the KeyUp event of Form even when the focus is on any other control, then the KeyPreview property of the Form has to be set to true as explained here
http://msdn.microsoft.com/en-us/library/system.windows.forms.form.keypreview.aspx[^]
Gets or sets a value indicating whether the form will receive key events before the event is passed to the control that has focus.
and under remarks as
To handle keyboard events only at the form level and not allow controls to receive keyboard events, set the KeyPressEventArgs.Handled property in your form's KeyPress event handler to true.

After setting KeyPreview property the Form's KeyUp event will fire first, then the KeyUp event of the control which has focus will be fired.