To summarize:
First option:
Press <COMMAND <OPTION> <ESC> together, and you'll get a Force-Quit menu.
Second option:
Right-clink the app in de Dock. You should get the contextual menu allowing you to force-quit the app.
Third option:
Open Activity Monitor (In /Apps/Utilities). Select the app, and select the option to force-quit this.
Fourth option:
Fire up Terminal (In /Apps/Utilities). Type "top" <ENTER>, and recognize the app, and remember the PID (shown on the left). Then type "kill [PID]" <ENTER>
This last option has the best chance of success if something bad has happened. It could be that your troublesome app also spawns other GUI troubles, making the first 3 options difficult to execute.
Whatever.... it's good to have options