I've set off some TNT, what should I do?

If you open your world with MCEdit, you can select the area containing the TNT and use the “Delete Entities” operation to delete all the activated TNT in that area. (Note that Delete Entities will also remove any minecarts, boats, and wolves in the selection. MCEdit will show entities as transparent red blocks, but not what type of entity they are.)

Without such editing, by the physics of Minecraft, there is no way to stop activated TNT. However, you can prevent the explosion from having any effects on other blocks, including other TNT, by dumping water in the space where it will explode. (This probably can't help you fast enough unless you have a full bucket on your hotbar already.)

Hitting Alt+F4 would have been the wiser choice because by hitting Escape you invoked the game to save your world.

Alternatively you can quit the game, then delete (and backup) your level.dat and rename your level.dat_old to level.dat. The problem is that you don't know from when the level.dat_old is. I just know that this saved my house from burning it down accidentally and the game was set back about 10 minutes.

If you encase it in obsidian it will prevent the explosion going outward, encase it in water and it stops the damage that the surrounding blocks receive. I'd recommend worldguard because it can prevent the ignition of TNT.