You can always try the obvious things like ^C, ^D (eof), Escape etc., but if all fails I usually end up suspending the command with ^Z (Control-Z) which puts me back into the shell.

I then do a ps command and note the PID (process id) of the command and then issue a kill thePID (kill -9 thePID if the former didn't work) command to terminate the application.

Note that this is not a tidy (no pun intended) way to terminate the application/command and you run the risk of perhaps no saving some data etc.

An example (I'd have used tidy but I don't have it installed):

$ gnuplot

    G N U P L O T
    Version 4.2 patchlevel 6 
     ....
    Send bug reports and suggestions to <http://sourceforge.net/projects/gnuplot>

Terminal type set to 'wxt'
gnuplot> 
gnuplot>               #####  typed ^Z here
[1]+  Stopped                 gnuplot
$ ps
  PID TTY          TIME CMD
 1681 pts/1    00:00:00 tcsh
 1690 pts/1    00:00:00 bash
 1708 pts/1    00:00:00 gnuplot
 1709 pts/1    00:00:00 ps


$ kill 1708            ###### didn't kill the command as ps shows

$ ps
  PID TTY          TIME CMD
 1681 pts/1    00:00:00 tcsh
 1690 pts/1    00:00:00 bash
 1708 pts/1    00:00:00 gnuplot
 1710 pts/1    00:00:00 ps
$ kill -9 1708           ### -9 did the trick
$ 
[1]+  Killed                  gnuplot

$ ps
  PID TTY          TIME CMD
 1681 pts/1    00:00:00 tcsh
 1690 pts/1    00:00:00 bash
 1711 pts/1    00:00:00 ps

Using control-z suspends the process (see the output from stty -a which lists the key stroke under susp). That leaves it running, but in suspended animation (so it is not using any CPU resources). It can be resumed later.

If you want to stop a program permanently, then any of interrupt (often control-c) or quit (often control-\) will stop the process, the latter producing a core dump (unless you've disabled them). You might also use a HUP or TERM signal (or, if really necessary, the KILL signal, but try the other signals first) sent to the process from another terminal; or you could use control-z to suspend the process and then send the death threat from the current terminal, and then bring the (about to die) process back into the foreground (fg).

Note that all key combinations are subject to change via the stty command or equivalents; the defaults may vary from system to system.

Depending on what your program is doing, here are a few of options:

Ctrl+C: Interrupt the running program
Ctrl+D: Send EOF (End Of File) to the running program, may trigger a graceful exit.
Ctrl+Z: Suspend the program. Will leave the program suspended in the background.