How to make a form close when pressing the escape key?

You can set a property on the form to do this for you if you have a button on the form that closes the form already.

Set the CancelButton property of the form to that button.

Gets or sets the button control that is clicked when the user presses the Esc key.

If you don't have a cancel button then you'll need to add a KeyDown handler and check for the Esc key in that:

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

You will also have to set the KeyPreview property to true.

Gets or sets a value indicating whether the form will receive key events before the event is passed to the control that has focus.

However, as Gargo points out in his answer this will mean that pressing Esc to abort an edit on a control in the dialog will also have the effect of closing the dialog. To avoid that override the ProcessDialogKey method as follows:

protected override bool ProcessDialogKey(Keys keyData)
{
    if (Form.ModifierKeys == Keys.None && keyData == Keys.Escape)
    {
        this.Close();
        return true;
    }
    return base.ProcessDialogKey(keyData);
}

Button cancelBTN = new Button();
cancelBTN.Size = new Size(0, 0);
cancelBTN.TabStop = false;
this.Controls.Add(cancelBTN);
this.CancelButton = cancelBTN;

If you have a cancel button on your form, you can set the Form.CancelButton property to that button and then pressing escape will effectively 'click the button'.

If you don't have such a button, check out the Form.KeyPreview property.

The best way i found is to override the "ProcessDialogKey" function. This way canceling an open control is still possible because the function is only called when no other control uses the pressed Key.

This is the same behaviour as setting the CancelButton property. Using the KeyDown Event fires always and thus the form will close even when it should cancel the edit of an open editor.

protected override bool ProcessDialogKey(Keys keyData)
{
    if (Form.ModifierKeys == Keys.None && keyData == Keys.Escape)
    {
        this.Close();
        return true;
    }
    return base.ProcessDialogKey(keyData);
}