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 python console is next to worthless for running complex scripts and, in practice, should be reserved for simple operations--stick with [IDLE][1], [pythonwin][2], [pyscripter][3] 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?][4]

[Terminating a Python script][5]

 [How to stop a command or prompt in Python?][6]


  [1]: http://docs.python.org/2/library/idle.html
  [2]: http://sourceforge.net/projects/pywin32/files/pywin32/
  [3]: http://code.google.com/p/pyscripter/
  [4]: http://gis.stackexchange.com/q/14163/8104
  [5]: http://stackoverflow.com/q/73663/1446289
  [6]: http://forums.arcgis.com/threads/27208-How-to-stop-a-command-or-prompt-in-Python