How to kill/stop a long SQL query immediately?

First execute the below command:

sp_who2

After that execute the below command with SPID, which you got from above command:

KILL {SPID value}

This is kind of a silly answer, but it works reliably at least in my case: In management studio, when the "Cancel Executing Query" doesn't stop the query I just click to close the current sql document. it asks me if I want to cancel the query, I say yes, and lo and behold in a few seconds it stops executing. After that it asks me if I want to save the document before closing. At this point I can click Cancel to keep the document open and continue working. No idea what's going on behind the scenes, but it seems to work.

What could the reason be

A query cancel is immediate, provided that your attention can reach the server and be processed. A query must be in a cancelable state, which is almost always true except if you do certain operations like calling a web service from SQLCLR. If your attention cannot reach the server it's usually due to scheduler overload.

But if your query is part of a transaction that must rollback, then rollback cannot be interrupted. If it takes 10 minutes then it needs 10 minutes and there's nothing you can do about it. Even restarting the server will not help, it will only make startup longer since recovery must finish the rollback.

To answer which specific reason applies to your case, you'll need to investigate yourself.

sp_who2 'active'

Check values under CPUTime and DiskIO. Note the SPID of process having large value comparatively.

kill {SPID value}