It is bad practice to force shutdown using brute force tactics. Rather, as @Aragon pointed out you should add error handling to your script to isolate components and/or stop the script if certain conditions are not met. As @R.K. points out, the ArcGIS python console is next to worthless for running complex scripts and, in practice, should be reserved for simple operations--stick with IDLE, pythonwin, pyscripter or any of the host of other IDEs. Here are discussions related to your question:
How do I use sys.exit(0) in an arcpy script to exit early without having an error message show up?