How to stop BackgroundWorker correctly

CancelAsync doesn't actually abort your thread or anything like that. It sends a message to the worker thread that work should be cancelled via BackgroundWorker.CancellationPending. Your DoWork delegate that is being run in the background must periodically check this property and handle the cancellation itself.

The tricky part is that your DoWork delegate is probably blocking, meaning that the work you do on your DataSource must complete before you can do anything else (like check for CancellationPending). You may need to move your actual work to yet another async delegate (or maybe better yet, submit the work to the ThreadPool), and have your main worker thread poll until this inner worker thread triggers a wait state, OR it detects CancellationPending.

http://msdn.microsoft.com/en-us/library/system.componentmodel.backgroundworker.cancelasync.aspx

http://www.codeproject.com/KB/cpp/BackgroundWorker_Threads.aspx

You will have to use a flag shared between the main thread and the BackgroundWorker, such as BackgroundWorker.CancellationPending. When you want the BackgroundWorker to exit, just set the flag using BackgroundWorker.CancelAsync().

MSDN has a sample: http://msdn.microsoft.com/en-us/library/system.componentmodel.backgroundworker.cancellationpending.aspx

If you add a loop between the CancelAsync() and the RunWorkerAsync() like so it will solve your problem

 private void combobox2_TextChanged(object sender, EventArgs e)
 {
     if (cmbDataSourceExtractor.IsBusy)
        cmbDataSourceExtractor.CancelAsync();

     while(cmbDataSourceExtractor.IsBusy)
        Application.DoEvents();

     var filledComboboxValues = new FilledComboboxValues{ V1 = combobox1.Text,
        V2 = combobox2.Text};
     cmbDataSourceExtractor.RunWorkerAsync(filledComboboxValues );
  }

The while loop with the call to Application.DoEvents() will hault the execution of your new worker thread until the current one has properly cancelled, keep in mind you still need to handle the cancellation of your worker thread. With something like:

 private void cmbDataSourceExtractor_DoWork(object sender, DoWorkEventArgs e)
 {
      if (this.cmbDataSourceExtractor.CancellationPending)
      {
          e.Cancel = true;
          return;
      }
      // do stuff...
 }

The Application.DoEvents() in the first code snippet will continue to process your GUI threads message queue so the even to cancel and update the cmbDataSourceExtractor.IsBusy property will still be processed (if you simply added a continue instead of Application.DoEvents() the loop would lock the GUI thread into a busy state and would not process the event to update the cmbDataSourceExtractor.IsBusy)