Since it exit the current process, it's like an END, but in better. TerminateProcess would be a less good way to end, but in anyway, looking MSDN, ExitProcess seem to be a good way to Exit an application. Let us know if you encounter any strange problem using ExitProcess. ;)
From Microsoft MSDN
ExitProcess is the preferred method of ending a process. This function provides a clean process shutdown. This includes calling the entry-point function of all attached dynamic-link libraries (DLLs) with a value indicating that the process is detaching from the DLL. If a process terminates by calling TerminateProcess, the DLLs that the process is attached to are not notified of the process termination.