System.exit ( returnCode );

Simple command line Java programs terminate by returning from the main method.

The browser controls when to terminate Applets. It first calls their stop then destroy methods.

Multithread (usually GUI) applications also terminate when the last non-daemon thread stops. I have found in practice, even then, it is best to use System.exit, just in case some ghost of a thread you forgot about is hanging around.

ShutdownHook

// registering a shutdown hook to run when Apps terminates

Runtime.getRuntime().addShutdownHook( new Thread() {
    public void run() { database.close(); }
});

Windows Shutdown

rem to shutdown Windows
rundll32.exe shell32.dll,SHExitWindowsEx

rem to reboot Windows
rundll32.exe shell32.dll,SHExitWindowsEx 2

rem to power down
rundll32.exe shell32.dll,SHExitWindowsEx 3