Use Environment.Exit to immediately return from a console application with a specified result code.

using System;

namespace ConsoleApplication1
{
  class Class1
  {
    [STAThread]
    static void Main(string[] args)
    {
      Console.WriteLine("About to exit");

      int exitCode = 0;
      Environment.Exit(exitCode);

      // This line is not executed.
      Console.WriteLine("After exit");
    }
  }
}