How to stop VBA code running?

Or, if you want to avoid the use of a global variable you could use the rarely used .Tag property of the userform:

Private Sub CommandButton1_Click()
    Me.CommandButton1.Enabled = False 'Disabling button so user cannot push it
                                      'multiple times
    Me.CommandButton1.caption = "Wait..." 'Jamie's suggestion
    Me.Tag = "Cancel"
End Sub

Private Sub SomeVBASub
    If LCase(UserForm1.Tag) = "cancel" Then
        GoTo StopProcess
    Else
        'DoStuff
    End If

Exit Sub
StopProcess:
    'Here you can do some steps to be able to cancel process adequately
    'i.e. setting collections to "Nothing" deleting some files...
End Sub

How about Application.EnableCancelKey - Use the Esc button

On Error GoTo handleCancel
Application.EnableCancelKey = xlErrorHandler
MsgBox "This may take a long time: press ESC to cancel"
For x = 1 To 1000000    ' Do something 1,000,000 times (long!)
    ' do something here
Next x

handleCancel:
If Err = 18 Then
    MsgBox "You cancelled"
End If

Snippet from http://msdn.microsoft.com/en-us/library/aa214566(office.11).aspx

Add another button called "CancelButton" that sets a flag, and then check for that flag.

If you have long loops in the "stuff" then check for it there too and exit if it's set. Use DoEvents inside long loops to ensure that the UI works.

Bool Cancel
Private Sub CancelButton_OnClick()
    Cancel=True
End Sub
...
Private Sub SomeVBASub
    Cancel=False
    DoStuff
    If Cancel Then Exit Sub
    DoAnotherStuff
    If Cancel Then Exit Sub
    AndFinallyDothis
End Sub